Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
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Publication:2192600
DOI10.1007/s10543-019-00793-0zbMath1469.65033OpenAlexW3007710073MaRDI QIDQ2192600
Bozhang Dong, Jiayi Wu, Xiao-Jie Wang
Publication date: 17 August 2020
Published in: BIT (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10543-019-00793-0
stochastic differential equationsmultiplicative noiseadditive noiseAit-Sahalia modelsmall noisestochastic theta methodsmean-square convergence rates
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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