On strong convergence of two numerical methods for singular initial value problems with multiplicative white noise
DOI10.1016/J.CAM.2024.115801MaRDI QIDQ6556737
Publication date: 17 June 2024
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
strong convergencemultiplicative white noiseEuler-Maruyama methodMilstein methodstochastic singular initial value problems
Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)
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