Total variation bound for Milstein scheme without iterated integrals
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Publication:6073726
DOI10.1515/mcma-2023-2007zbMath1525.60079OpenAlexW4378221575MaRDI QIDQ6073726
Publication date: 18 September 2023
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2023-2007
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)
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