scientific article; zbMATH DE number 5812226
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Publication:3052503
backward Milstein methodItô stochastic differential equationmean-square stabilitynumerical resultssplitting technique
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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