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A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
In this article we compare the mean-square stability properties of the
Theta-Maruyama and Theta-Milstein method that are used to solve stochastic
differential equations. For the linear stability analysis, we propose an
extension of the standard geometric Brownian motion as a test equation and
consider a scalar linear test equation with several multiplicative noise terms.
This test equation allows to begin investigating the influence of
multi-dimensional noise on the stability behaviour of the methods while the
analysis is still tractable. Our findings include: (i) the stability condition
for the Theta-Milstein method and thus, for some choices of Theta, the
conditions on the step-size, are much more restrictive than those for the
Theta-Maruyama method; (ii) the precise stability region of the Theta-Milstein
method explicitly depends on the noise terms. Further, we investigate the
effect of introducing partially implicitness in the diffusion approximation
terms of Milstein-type methods, thus obtaining the possibility to control the
stability properties of these methods with a further method parameter Sigma.
Numerical examples illustrate the results and provide a comparison of the
stability behaviour of the different methods.Comment: 19 pages, 10 figure
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Unified Solution of the Expected Maximum of a Random Walk and the Discrete Flux to a Spherical Trap
Two random-walk related problems which have been studied independently in the
past, the expected maximum of a random walker in one dimension and the flux to
a spherical trap of particles undergoing discrete jumps in three dimensions,
are shown to be closely related to each other and are studied using a unified
approach as a solution to a Wiener-Hopf problem. For the flux problem, this
work shows that a constant c = 0.29795219 which appeared in the context of the
boundary extrapolation length, and was previously found only numerically, can
be derived explicitly. The same constant enters in higher-order corrections to
the expected-maximum asymptotics. As a byproduct, we also prove a new universal
result in the context of the flux problem which is an analogue of the Sparre
Andersen theorem proved in the context of the random walker's maximum.Comment: Two figs. Accepted for publication, Journal of Statistical Physic
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