On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

DOI10.1007/s10543-019-00756-5zbMath1505.65011arXiv1601.02695OpenAlexW2963611109MaRDI QIDQ2009112

Sotirios Sabanis, Chaman Kumar

Publication date: 27 November 2019

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.02695

zbMATH Keywords

rate of convergenceexplicit Milstein-type schemesuper-linear coefficients

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (19)

Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients ⋮ On explicit tamed Milstein-type scheme for stochastic differential equation with Markovian switching ⋮ The truncated Euler-Maruyama method for highly nonlinear stochastic differential equations with multiple time delays ⋮ Stationary distribution of the Milstein scheme for stochastic differential delay equations with first-order convergence ⋮ Strongly asymptotically optimal schemes for the strong approximation of stochastic differential equations with respect to the supremum error ⋮ A strongly monotonic polygonal Euler scheme ⋮ Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients ⋮ Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients ⋮ Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients ⋮ Tamed EM schemes for neutral stochastic differential delay equations with superlinear diffusion coefficients ⋮ An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model ⋮ Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients ⋮ On explicit Milstein-type scheme for McKean-Vlasov stochastic differential equations with super-linear drift coefficient ⋮ A note on explicit Milstein-type scheme for stochastic differential equation with Markovian switching ⋮ On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients ⋮ Strong convergence of a GBM based tamed integrator for SDEs and an adaptive implementation ⋮ Higher order Langevin Monte Carlo algorithm ⋮ Well-posedness and tamed schemes for McKean-Vlasov equations with common noise ⋮ Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

Cites Work

• Unnamed Item
• Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• On tamed Milstein schemes of SDEs driven by Lévy noise
• A note on tamed Euler approximations
• The tamed unadjusted Langevin algorithm
• Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
• On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
• Multilevel Monte Carlo Path Simulation
• The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
• A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

This page was built for publication: On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients