Newton–Milstein scheme for stochastic differential equations and its fast uniform convergence

DOI10.1080/07362994.2016.1155070zbMath1341.60075OpenAlexW2342116642MaRDI QIDQ2814785

Kazuo Amano

Publication date: 23 June 2016

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2016.1155070

zbMATH Keywords

stochastic differential equationsNewton-Milstein schemeprobabilistic second-order error estimate

Mathematics Subject Classification ID

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)

Related Items (1)

A family of Chaplygin-type solvers for Itô stochastic differential equations

Uses Software

• stochastic

Cites Work

• Unnamed Item

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