Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

DOI10.1016/J.AMC.2021.126680zbMath1510.65015arXiv2110.05716WikidataQ115361093 ScholiaQ115361093MaRDI QIDQ6380034

Xiujun Cheng, Yu-Long Liu, Yuanling Niu

Publication date: 11 October 2021

Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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