Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
From MaRDI portal
Publication:2008838
DOI10.1016/j.amc.2018.10.040zbMath1429.65014OpenAlexW2905581454MaRDI QIDQ2008838
Davood Ahmadian, O. Farkhondeh Rouz, Luca Vincenzo Ballestra
Publication date: 26 November 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2018.10.040
stochastic delay differential equationsexponential mean-square stabilitysplit-step theta Milstein method
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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