A randomized Milstein method for stochastic differential equations with non-differentiable drift coefficients

DOI10.3934/dcdsb.2018253zbMath1478.65008arXiv1706.09964OpenAlexW2725768875WikidataQ129322632 ScholiaQ129322632MaRDI QIDQ2321068

Raphael Kruse, Yue Wu

Publication date: 28 August 2019

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.09964

zbMATH Keywords

strong convergencestochastic differential equationsMonte Carlo methodsMilstein methodrandomized quadrature rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)

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