Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs (Q1697041): Difference between revisions
From MaRDI portal
Set profile property. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1508.04581 / rank | |||
Normal rank | |||
Revision as of 20:59, 18 April 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)
0 references
15 February 2018
0 references
CEV models
0 references
CIR model
0 references
Milstein scheme
0 references
multilevel Monte Carlo
0 references
stochastic differential equations
0 references
strong error analysis
0 references
non-Lipschitz diffusion coefficient
0 references
