The truncated Milstein method for stochastic differential equations with commutative noise (Q1743967): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Modeling with Itô Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations. An introduction with applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5429735 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4004325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4826106 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical solution of stochastic differential equations with jumps in finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic ordinary differential equations in applied and computational mathematics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Balanced Implicit Methods for Stiff Stochastic Systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4866235 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: First order strong approximations of scalar SDEs defined in a domain / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence of split-step theta methods for non-autonomous stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Implicit stochastic Runge-Kutta methods for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on tamed Euler approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: The truncated Euler-Maruyama method for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The partially truncated Euler-Maruyama method and its stability and boundedness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multilevel Monte Carlo Path Simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3504233 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak order stochastic Runge-Kutta methods for commutative stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Runge-Kutta methods for Stratonovich stochastic differential equation systems with commutative noise. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak second-order stochastic Runge-Kutta methods for non-commutative stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Supplement: Efficient weak second order stochastic Runge-Kutta methods for non-commutative Stratonovich stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Runge-Kutta methods with deterministic high order for ordinary differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximate Integration of Stochastic Differential Equations / rank
 
Normal rank

Latest revision as of 11:34, 15 July 2024

scientific article
Language Label Description Also known as
English
The truncated Milstein method for stochastic differential equations with commutative noise
scientific article

    Statements

    The truncated Milstein method for stochastic differential equations with commutative noise (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    16 April 2018
    0 references
    strong convergence rate
    0 references
    nonlinear stochastic differential equations with commutative noise
    0 references
    truncated Milstein method
    0 references
    non-global Lipschitz condition
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references