Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance (Q379049)
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scientific article; zbMATH DE number 6226228
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| English | Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance |
scientific article; zbMATH DE number 6226228 |
Statements
Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance (English)
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12 November 2013
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Milstein scheme
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implicit schemes stochastic differential equation
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stability
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strong convergence
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nonnegativity
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0.8198828101158142
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0.812824547290802
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0.808953583240509
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0.8077226281166077
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0.8025085926055908
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