Generalized two-step Milstein methods for stochastic differential equations

DOI10.1080/00207160.2019.1618846MaRDI QIDQ5030611zbMATH OpenOpenAlexWikidataFDO

Authors Quanwei Ren, Hongjiong Tian

Publication date 17 February 2022

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160.2019.1618846

zbMATH Keywords

generalized two-step Milstein methodslinear mean-square stabilitymean-square consistencymean-square convergencestochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• Generalized two-step Maruyama methods for stochastic differential equations
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Cited in

(11)

• Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps
• Deterministic implicit two-step Milstein methods for stochastic differential equations
• A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients
• Generalized two-step Maruyama methods for stochastic differential equations
• Newton–Milstein scheme for stochastic differential equations and its fast uniform convergence
• Two-stage Milstein methods for stochastic differential equations
• Five-stage Milstein methods for SDEs
• scientific article; zbMATH DE number 6164564 (Why is no real title available?)
• Balanced Milstein Methods for Ordinary SDEs
• Balanced implicit two-step Maruyama methods for stochastic differential equations
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations

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