Stochastic C-Stability and B-Consistency of Explicit and Implicit Milstein-Type Schemes
نویسندگان
چکیده
منابع مشابه
Stochastic C-Stability and B-Consistency of Explicit and Implicit Milstein-Type Schemes
Abstract. This paper focuses on two variants of the Milstein scheme, namely the split-step backward Milstein method and a newly proposed projected Milstein scheme, applied to stochastic differential equations which satisfy a global monotonicity condition. In particular, our assumptions include equations with super-linearly growing drift and diffusion coefficient functions and we show that both ...
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ژورنال
عنوان ژورنال: Journal of Scientific Computing
سال: 2016
ISSN: 0885-7474,1573-7691
DOI: 10.1007/s10915-016-0290-x