Monte Carlo Methods and ApplicationsC. Kahl and H. Schurz, Balanced Milstein methods for ordinary SDEs, preprint, 2006.C. Kahl, H. Schurz, Balanced Milstein methods for ordinary SDEs, Monte Carlo Methods Appl. 12 (2) (2006) 143-170....
Balanced Milstein methods for ordinary SDEs Monte Carlo Methods Appl. (2006)View more references Cited by (45) Split-step θ-method for stochastic delay differential equations 2014, Applied Numerical Mathematics Show abstract The composite Milstein methods for the numerical solution of Ito stochastic ...
0 of mean square convergence, compared to commonly known numerical methods for SDEs with Lipschitzian co-efficients.KahlDepartmentChristianDepartmentSchurzDepartmentHenriDepartmentEBSCO_AspMonte Carlo Methods & ApplicationsC. Kahl and H. Schurz, Balanced Milstein methods for ordinary SDEs, Monte Carlo ...
Numerical contractivity preserving implicit balanced Milstein-type schemes for SDEs with non-global Lipschitz coefficientsdoi:10.3934/math.2024137Jinran YaoZhengwei YinAIMS Mathematics