Asymptotic error for the Milstein scheme for SDEs with stochastic evaluation times

DOI10.1360/012015-9zbMATH Open1488.65009OpenAlexW2332118441MaRDI QIDQ5018013

Yingyu Chen, Lixin Zhang

Publication date: 17 December 2021

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012015-9

zbMATH Keywords

stochastic differential equationsMilstein schemestably convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70)

Related Items (4)

A simplified Milstein scheme for SPDEs with multiplicative noise ⋮ Five-stage Milstein methods for SDEs ⋮ Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients ⋮ Balanced Milstein Methods for Ordinary SDEs

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