Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

DOI10.1016/j.amc.2021.126680WikidataQ115361093 ScholiaQ115361093MaRDI QIDQ2247119

Yuanling Niu, Xiujun Cheng, Yu-Long Liu

Publication date: 16 November 2021

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

Full work available at URL: https://arxiv.org/abs/2110.05716

zbMATH Keywords

strong convergence; one-sided Lipschitz condition; exponential mean square stability; commutative noise; semi-tamed Milstein method

Mathematics Subject Classification ID

60Hxx: Stochastic analysis

65Cxx: Probabilistic methods, stochastic differential equations

34Fxx: Ordinary differential equations and systems with randomness

Uses Software

• GitHub