An explicit adaptive Milstein method with path-bounded time stepping is shown to converge strongly with order one for SDEs with one-sided Lipschitz drift and non-commutative noise.
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Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients
An explicit adaptive Milstein method with path-bounded time stepping is shown to converge strongly with order one for SDEs with one-sided Lipschitz drift and non-commutative noise.