A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients (Q2321068)
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scientific article; zbMATH DE number 7099015
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| English | A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients |
scientific article; zbMATH DE number 7099015 |
Statements
A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients (English)
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28 August 2019
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Milstein method
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stochastic differential equations
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strong convergence
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Monte Carlo methods
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randomized quadrature rules
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0.91937923
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0.91722274
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0.9165059
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0.91517854
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0.9148825
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0.9127785
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0.9123966
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0.9106109
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0.9101336
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