An explicit split-step truncated Milstein method for stochastic differential equations

In this paper, we propose an explicit split-step truncated Milstein method for stochastic differential equations (SDEs) with commutative noise. We discuss the mean-square convergence properties of the new method for numerical solutions of a class of highly nonlinear SDEs in a finite time interval. As a result, we show that the strong convergence rate of the new method can be arbitrarily close to one under some additional conditions. Finally, we use an illustrative example to highlight the advantages of our new findings in terms of both stability and accuracy compared to the results in Guo et al. (2018).