Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

DOI10.1016/j.amc.2021.126680OpenAlexW3201962318WikidataQ115361093 ScholiaQ115361093MaRDI QIDQ2247119

Xiujun Cheng, Yuanling Niu, Yu-Long Liu

Publication date: 16 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.05716

zbMATH Keywords

strong convergenceone-sided Lipschitz conditionexponential mean square stabilitycommutative noisesemi-tamed Milstein method

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Probabilistic methods, stochastic differential equations (65Cxx) Ordinary differential equations and systems with randomness (34Fxx)

Uses Software

• GitHub

Cites Work

• Unnamed Item
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