Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems (Q6048913)

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scientific article; zbMATH DE number 7750255
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Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems
scientific article; zbMATH DE number 7750255

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    Novel Girsanov correction based Milstein schemes for analysis of nonlinear multi-dimensional stochastic dynamical systems (English)
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    13 October 2023
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    stochastic differential equations
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    milstein mapping
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    error process
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    change of measure
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    Girsanov filtration
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