Order-preserving strong schemes for SDEs with locally Lipschitz coefficients (Q343658)
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scientific article; zbMATH DE number 6657047
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| English | Order-preserving strong schemes for SDEs with locally Lipschitz coefficients |
scientific article; zbMATH DE number 6657047 |
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Order-preserving strong schemes for SDEs with locally Lipschitz coefficients (English)
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28 November 2016
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non-globally Lipschitz coefficients
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tamed schemes
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explicit schemes
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mean-square convergence
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high-order schemes
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stochastic differential equations
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balanced Euler scheme
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balanced Milstein scheme
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numerical results
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0.8473479151725769
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0.8227104544639587
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0.8198862075805664
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0.8193398714065552
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