On explicit order 1.5 approximations with varying coefficients: the case of super-linear diffusion coefficients

DOI10.1016/j.jco.2018.09.004zbMath1403.60048arXiv1707.05086OpenAlexW3101083000MaRDI QIDQ1633628

Ying Zhang, Sotirios Sabanis

Publication date: 20 December 2018

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.05086

zbMATH Keywords

rate of convergencehigh-order schemessuperlinear coefficientsWagner-Platen expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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