THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM (Q5204540)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM |
scientific article; zbMATH DE number 7139843
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM |
scientific article; zbMATH DE number 7139843 |
Statements
THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM (English)
0 references
4 December 2019
0 references
stochastic differential equations
0 references
invertible SDEs
0 references
numerical solution of stochastic differential equations
0 references
Milstein method for solving SDE
0 references
Euler method for SDE
0 references
0 references
