Convergence rate of the truncated Milstein method of stochastic differential delay equations
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Publication:2009593
DOI10.1016/j.amc.2019.04.001zbMath1429.65026OpenAlexW2939991523MaRDI QIDQ2009593
Publication date: 29 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.2019.04.001
strong convergencelocal Lipschitz conditionstochastic differential delay equationKhasminskii-type conditiontruncated Milstein method
Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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