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Generalized two-step Maruyama methods for stochastic differential equations
In this paper, we propose generalized two-step Maruyama methods
for solving Itô stochastic differential equations. Numerical analysis
concerning consistency,convergence and numerical stability in the meansquare
sense is presented. We derive sufficient and necessary conditions
for linear mean-square stability of the generalized two-step Maruyama
methods. We compare the stability region of the generalized two-step
Maruyama methods of Adams type with that of the corresponding two-step
Maruyama methods of Adams type and show that our proposed methods have
better linear mean-square stability. A numerical example is given to
confirm our theoretical results