Balanced Milstein Methods for Ordinary SDEs (Q5487895)
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scientific article; zbMATH DE number 5053280
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| English | Balanced Milstein Methods for Ordinary SDEs |
scientific article; zbMATH DE number 5053280 |
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Balanced Milstein Methods for Ordinary SDEs (English)
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13 September 2006
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Euler scheme
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Milstein scheme
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balanced implicit methods
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numerical examples
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invariance-preserving
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convergence
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consistency
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stability
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pathwise positivity
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Cox-Ingersoll-Ross model
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stochastic differential equations (SDEs)
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0.89795685
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0.89508486
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0.89260197
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0.8886293
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0.8881291
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0.8870009
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0.8862496
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