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

DOI10.17654/NM018020031zbMATH Open1486.65005OpenAlexW3000374922MaRDI QIDQ5035397FDOQ5035397

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

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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 (7)

• Invariant measures of the Milstein method for stochastic differential equations with commutative noise
• Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation
• Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs
• 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
• \(L^p\) and almost sure convergence of a Milstein scheme for stochastic partial differential equations

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