Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs (Q1697041)
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scientific article; zbMATH DE number 6839258
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| English | Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs |
scientific article; zbMATH DE number 6839258 |
Statements
Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs (English)
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15 February 2018
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CEV models
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CIR model
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Milstein scheme
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multilevel Monte Carlo
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stochastic differential equations
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strong error analysis
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non-Lipschitz diffusion coefficient
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0.8051653504371643
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0.7949672937393188
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0.7876286506652832
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0.7789390683174133
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0.7738264203071594
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