Balanced Milstein Methods for Ordinary SDEs
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Publication:5487895
DOI10.1515/156939606777488842zbMath1105.65009OpenAlexW2049801158MaRDI QIDQ5487895
Publication date: 13 September 2006
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/156939606777488842
stabilityconvergenceconsistencynumerical examplesEuler schemeCox-Ingersoll-Ross modelMilstein schemestochastic differential equations (SDEs)balanced implicit methodsinvariance-preservingpathwise positivity
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
- Numerical solution of SDE through computer experiments. Including floppy disk
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- Balanced Implicit Methods for Stiff Stochastic Systems
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