Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

DOI10.1016/j.apnum.2016.09.013zbMath1354.65017arXiv1402.3708OpenAlexW2531192662MaRDI QIDQ343658

Zhongqiang Zhang, He-Ping Ma

Publication date: 28 November 2016

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

Full work available at URL: https://arxiv.org/abs/1402.3708

zbMATH Keywords

numerical resultsstochastic differential equationshigh-order schemesmean-square convergenceexplicit schemesbalanced Euler schemebalanced Milstein schemenon-globally Lipschitz coefficientstamed schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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