THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM

DOI10.17654/DE019040405zbMath1426.60064OpenAlexW2904724200WikidataQ128753169 ScholiaQ128753169MaRDI QIDQ5204540

Yousef Alnafisah

Publication date: 4 December 2019

Published in: Advances in Differential Equations and Control Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17654/de019040405

zbMATH Keywords

stochastic differential equationsnumerical solution of stochastic differential equationsEuler method for SDEinvertible SDEsMilstein method for solving SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• Simulation and approximation of Lévy-driven stochastic differential equations
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