The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
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Publication:4916362
DOI10.1080/10236198.2012.656617zbMath1262.65008arXiv1102.0662OpenAlexW2006012599MaRDI QIDQ4916362
Publication date: 22 April 2013
Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1102.0662
strong convergenceone-sided Lipschitz conditionsuperlinearly growing coefficientcommutative noisetamed Milstein method
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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