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

DOI10.17654/NM018020031MaRDI QIDQ5035397zbMATH OpenOpenAlexFDO

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

convergence in \(L^p\)Milstein methodstochastic differential equationsstrong convergence

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

• Approximate Integration of Stochastic Differential Equations
• 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?)
• 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)

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

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