An exponential split-step double balanced Milstein scheme for SODEs with locally Lipschitz continuous coefficients
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Publication:6578280
DOI10.1007/S12190-024-01989-6zbMATH Open1543.65017MaRDI QIDQ6578280FDOQ6578280
Authors: Hassan Ranjbar 
Publication date: 25 July 2024
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
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exponential mean square stabilitylocally Lipschitz coefficientsstochastic ordinary differential equationsexponential split-step double balanced \(\vartheta\) Milstein schememean square contraction
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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