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

DOI10.17654/DE019040405zbMATH Open1426.60064OpenAlexW2904724200WikidataQ128753169 ScholiaQ128753169MaRDI QIDQ5204540FDOQ5204540

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

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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)

Cites Work

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• The approximation of multiple stochastic integrals
• The rate of convergence for approximate solutions of stochastic differential equations
• Simulation and approximation of Lévy-driven stochastic differential equations
• Geometrization of Monte-Carlo numerical analysis of an elliptic operator: Strong approximation
• KMT theory applied to approximations of SDE

Cited In (3)

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

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