The truncated Milstein method for stochastic differential equations with commutative noise

DOI10.1016/j.cam.2018.01.014zbMath1503.65014arXiv1704.04135MaRDI QIDQ1743967

Xuerong Mao, Rong-Xian Yue, Qian Guo, Wei Liu

Publication date: 16 April 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.04135

zbMATH Keywords

strong convergence rate; non-global Lipschitz condition; nonlinear stochastic differential equations with commutative noise; truncated Milstein method

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations