The truncated Milstein method for stochastic differential equations with commutative noise

The truncated Milstein method for stochastic differential equations with commutative noise Inspired by the truncated Euler–Maruyama method developed in Mao (2015), we propose the truncated Milstein method in this paper. The strong convergence rate is proved to be close to 1 for a class of highly non-linear stochastic differential equations with commutative noise. Numerical examples are given to illustrate the theoretical results. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Computational and Applied Mathematics Elsevier

The truncated Milstein method for stochastic differential equations with commutative noise

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Publisher
Elsevier
Copyright
Copyright © 2018 The Author(s)
ISSN
0377-0427
eISSN
1879-1778
D.O.I.
10.1016/j.cam.2018.01.014
Publisher site
See Article on Publisher Site

Abstract

Inspired by the truncated Euler–Maruyama method developed in Mao (2015), we propose the truncated Milstein method in this paper. The strong convergence rate is proved to be close to 1 for a class of highly non-linear stochastic differential equations with commutative noise. Numerical examples are given to illustrate the theoretical results.

Journal

Journal of Computational and Applied MathematicsElsevier

Published: Aug 15, 2018

References

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