Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients

DOI10.1016/j.apnum.2022.05.004zbMath1492.65028MaRDI QIDQ2154871

Xiao-Juan Wu, Si-qing Gan

Publication date: 15 July 2022

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2022.05.004

zbMATH Keywords

stochastic differential equations; non-globally Lipschitz coefficients; strong convergence rates; split-step theta Milstein methods

Mathematics Subject Classification ID

34F05: Ordinary differential equations and systems with randomness

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

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients

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