STRONG CONVERGENCE IN Lp OF MILSTEIN METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.17654/NM018020031zbMath1486.65005OpenAlexW3000374922MaRDI QIDQ5035397

Yazid Alhojilan

Publication date: 21 February 2022

Published in: International Journal of Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17654/nm018020031

zbMATH Keywords

strong convergencestochastic differential equationsconvergence in \(L^p\)Milstein method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Numerical solution of SDE through computer experiments. Including floppy disk
• Approximate Integration of Stochastic Differential Equations
• Stochastic differential equations. An introduction with applications.
• Stability of weak numerical schemes for stochastic differential equations

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