Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs (Q1697041): Difference between revisions
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Revision as of 04:21, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs |
scientific article |
Statements
Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs (English)
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15 February 2018
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CEV models
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CIR model
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Milstein scheme
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multilevel Monte Carlo
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stochastic differential equations
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strong error analysis
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non-Lipschitz diffusion coefficient
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