Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs

DOI10.3150/16-BEJ918zbMath1426.60067arXiv1508.04581OpenAlexW3105981216MaRDI QIDQ1697041

Mireille Bossy, Héctor Olivero

Publication date: 15 February 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.04581

zbMATH Keywords

stochastic differential equationsCIR modelMilstein schememultilevel Monte CarloCEV modelsnon-Lipschitz diffusion coefficientstrong error analysis

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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