The implementation of Milstein scheme in two-dimensional SDEs using non-degeneracy for the diffusion term

DOI10.17654/DE019040405MaRDI QIDQ5204540zbMATH OpenOpenAlexWikidataFDO

Authors Yousef Alnafisah

Publication date 4 December 2019

Published in Advances in Differential Equations and Control Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.17654/de019040405

zbMATH Keywords

stochastic differential equationsnumerical solution of stochastic differential equationsEuler method for SDEinvertible SDEsMilstein method for solving SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Existence of strong solutions for Itô's stochastic equations via approximations
• Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• KMT theory applied to approximations of SDE
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• On the simulation of iterated Itô integrals.
• Simulation and approximation of Lévy-driven stochastic differential equations
• The approximation of multiple stochastic integrals
• The rate of convergence for approximate solutions of stochastic differential equations
• Upper bounds for minimal distances in the central limit theorem

Cited in

(3)

• The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms
• An implementation of Milstein's method for general bounded diffusions
• The implementation of Milstein scheme in two-dimensional SDEs using the Fourier method

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