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

DOI10.22034/CMDE.2022.51249.2132MaRDI QIDQ6121376zbMATH OpenFDO

Authors Amir Haghighi

Publication date 27 February 2024

Full work available at URL https://doi.org/10.22034/CMDE.2022.51249.2132

zbMATH Keywords

non-globally Lipschitz conditionssplit-step methodsstochastic differential equationsstrong convergence ratetruncated 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) Numerical computation of solutions to systems of equations (65H10)

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Cited in

(4)

• A modifieed split-step truncated Euler-Maruyama method for SDEs with non-globally Lipschitz continuous coefficients
• High Order Splitting Methods for SDEs Satisfying a Commutativity Condition
• An explicit two-stage truncated Runge-Kutta method for nonlinear stochastic differential equations
• Mean-square convergence of an explicit derivative-free truncated method for nonlinear SDEs covering the non-commutative noise case

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