Implicit Taylor methods for stiff stochastic differential equations

Abstract

In this paper we discuss implicit Taylor methods for stiff Itô stochastic differential equations. Based on the relationship between Itô stochastic integrals and backward stochastic integrals, we introduce three implicit Taylor methods: the implicit Euler–Taylor method with strong order 0.5, the implicit Milstein–Taylor method with strong order 1.0 and the implicit Taylor method with strong order 1.5. The mean-square stability properties of the implicit Euler–Taylor and Milstein–Taylor methods are much better than those of the corresponding semi-implicit Euler and Milstein methods and these two implicit methods can be used to solve stochastic differential equations which are stiff in both the deterministic and the stochastic components. Numerical results are reported to show the convergence properties and the stability properties of these three implicit Taylor methods. The stability analysis and numerical results show that the implicit Euler–Taylor and Milstein–Taylor methods are very promising methods for stiff stochastic differential equations.