Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation
type: Item
instance of: scholarly article
title: Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation
author: Minoo Kamrani
author: Nahid Jamshidi
published in: Numerical Algorithms
publication date: 2018-10-01T00:00:00Z
Mathematics Subject Classification ID: 65-XX
zbMATH DE Number: 6945619
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Wong-Zakai approximation
zbMATH Keywords: implicit Milstein method
zbMATH Keywords: convergence
MaRDI profile type: Publication
full work available at URL: s11075-017-0440-8
OpenAlex ID: W2768082252
cites work: Q4871212
cites work: The effect of integral conditions in certain equations modelling epidemics and population growth
cites work: Numerical Methods for Stochastic Delay Differential Equations Via the Wong--Zakai Approximation
cites work: Discrete non-linear inequalities and applications to boundary value problems
cites work: Convergence, nonnegativity and stability of a new Milstein scheme with applications to finance
cites work: Q4004325
cites work: On approximation of stochastic differential equations with coefficients depending on the past
cites work: The composite Milstein methods for the numerical solution of Itô stochastic differential equations
cites work: The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
cites work: Stability Analysis of Numerical Schemes for Stochastic Differential Equations
cites work: Implicit Taylor methods for stiff stochastic differential equations
cites work: Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion
cites work: Q4693218
cites work: Q3044216
cites work: On the Convergence of Ordinary Integrals to Stochastic Integrals
cites work: On the relation between ordinary and stochastic differential equations
DOI: 10.1007/S11075-017-0440-8
description: scientific article; zbMATH DE number 6945619