An exponential split-step double balanced \(\vartheta\) Milstein scheme for SODEs with locally Lipschitz continuous coefficients

DOI10.1007/S12190-024-01989-6zbMATH Open1543.65017MaRDI QIDQ6578280

Hassan Ranjbar

Publication date: 25 July 2024

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

zbMATH Keywords

exponential mean square stabilitylocally Lipschitz coefficientsstochastic ordinary differential equationsexponential split-step double balanced \(\vartheta\) Milstein schememean square contraction

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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