Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations
DOI10.1016/j.cam.2017.12.025zbMath1382.65026arXiv1501.03695OpenAlexW2963948687MaRDI QIDQ1696428
Fuke Wu, Xiaofeng Zong, Guiping Xu
Publication date: 14 February 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.03695
strong convergence rateexponential mean-square stabilitysplit-step theta-Milstein schemestochastic theta-Milstein scheme
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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