STRONG CONVERGENCE IN Lp OF MILSTEIN METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS

DOI10.17654/NM018020031zbMATH Open1486.65005OpenAlexW3000374922MaRDI QIDQ5035397FDOQ5035397

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)

Cites Work

• Numerical solution of SDE through computer experiments. Including floppy disk
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• Stochastic differential equations. An introduction with applications.
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• Approximate Integration of Stochastic Differential Equations
• Stability of weak numerical schemes for stochastic differential equations

Cited In (1)

• Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation

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