Truncated Milstein method for non-autonomous stochastic differential equations and its modification
DOI10.1016/j.cam.2021.113817zbMath1482.65009arXiv2011.00023WikidataQ115359662 ScholiaQ115359662MaRDI QIDQ2237930
Wei Liu, Xiao-Yan Wang, Juan Liao
Publication date: 28 October 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.00023
non-autonomous stochastic differential equations; truncated Milstein method; Hölder continuous time variable; randomized step-size; super-linear state variable
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
Uses Software
