Convergence of a split-step Milstein method for linear stochastic delay differential equations

MaRDI QIDQ2858570zbMATH OpenFDO

Authors Qian Guo, Wenwen Xie, Xueyin Tao, Ying Zhu

Publication date 19 November 2013

Published in Communication on Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

Milstein schemenumerical experimentssplit-stepstochastic delay differential equationstrong convergence

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited in

(3)

• Mean-square stability of Milstein method for linear hybrid stochastic delay integro-differential equations
• Convergence Analysis of Parareal Algorithm Based on Milstein Scheme for Stochastic Differential Equations
• scientific article; zbMATH DE number 6164564 (Why is no real title available?)

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