Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients (Q6174717)

scientific article; zbMATH DE number 7713014

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English	Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients	scientific article; zbMATH DE number 7713014

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instance of

scholarly article

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title

Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients (English)

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author

Xiao-Jie Wang

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published in

Advances in Computational Mathematics

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publication date

14 July 2023

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full work available at URL

https://arxiv.org/abs/2007.15733

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zbMATH Keywords

stochastic differential equations

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implicit Milstein type methods

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mean-square convergence rates

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Heston $\frac{3}{2}$-volatility model

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Ait-Sahalia interest rate model

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stochastic Lotka-Volterra competition model

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positivity preserving schemes

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MaRDI profile type

MaRDI publication profile

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cites work

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Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

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Identifiers

zbMATH Open document ID

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10.1007/s10444-023-10034-2

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6174717