Strong convergence in L^p of Milstein method for Itô stochastic differential equations

DOI10.17654/NM018020031MaRDI QIDQ5035397zbMATHOpenAlexFDO

Authors Yazid Alhojilan

Publication date 21 February 2022

Published in International Journal of Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/nm018020031

zbMATH Keywords

stochastic differential equationsstrong convergenceMilstein methodconvergence in \(L^p\)

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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• Two-stage Milstein methods for stochastic differential equations
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Cites work

• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
• scientific article; zbMATH DE number 2199827 (Why is no real title available?)
• scientific article; zbMATH DE number 3408831 (Why is no real title available?)
• Approximate Integration of Stochastic Differential Equations
• Numerical solution of SDE through computer experiments. Including floppy disk
• Stability of weak numerical schemes for stochastic differential equations
• Stochastic differential equations. An introduction with applications.

Cited in

(7)

• Approximation for the solutions of stochastic differential equations: ii strong convergence
• Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation
• Invariant measures of the Milstein method for stochastic differential equations with commutative noise
• \(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations
• The Milstein scheme for stochastic delay differential equations without using anticipative calculus
• Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs
• Convergence of Milstein methods for scalar Fokker-Planck equations

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