Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients

DOI10.1007/s10444-023-10034-2zbMath1515.60253arXiv2007.15733MaRDI QIDQ6174717

Xiao-Jie Wang

Publication date: 14 July 2023

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.15733

zbMATH Keywords

stochastic differential equationspositivity preserving schemesmean-square convergence ratesstochastic Lotka-Volterra competition modelAit-Sahalia interest rate modelHeston \(\frac{3}{2}\)-volatility modelimplicit Milstein type methods

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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