Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems

Abstract

This work proposes Girsanov corrected explicit, semi-implicit, and implicit Milstein approximations for the solution of nonlinear stochastic differential equations. The solution trajectories provided by the Milstein schemes are corrected by employing the change of measures, aimed at removing the error associated with the diffusion process incurred due to the transformation between two probability measures. The change of measures invoked in the Milstein schemes ensures that the solution from the mapping is measurable with respect to the filtration generated by the error process. The proposed scheme incorporates the error between the approximated mapping and the exact representation as an innovation that is accounted in the Milstein trajectories as an additive term. Numerical demonstrations using parametrically and non-parametrically excited stochastic oscillators, a practical problem involving ring type gyroscope, and a 7-degree-of-freedom nonlinear structural system subjected to both stationary and non-stationary excitation demonstrate the improvement in the solution accuracy for the proposed schemes with much coarser time steps when compared with the classical Milstein approximation with finer time steps.