Weak Milstein scheme without commutativity condition and its error bound

DOI10.1016/j.apnum.2018.04.007OpenAlexW2799847552WikidataQ129931723 ScholiaQ129931723MaRDI QIDQ1635492

Toshihiro Yamada

Publication date: 6 June 2018

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2018.04.007

zbMATH Keywords

stochastic differential equationsweak approximationMilstein scheme

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Related Items

Total variation bound for Milstein scheme without iterated integrals ⋮ A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation

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