A note on convergence and stability of the truncated Milstein method for stochastic differential equations
classification
🧮 math.NA
cs.NA
keywords
methodmilsteinstabilitytruncatedalmostconvergencedemonstratedeveloped
read the original abstract
Some new techniques are employed to release significantly the requirements on the step size of the truncated Milstein method, which was originally developed in Guo, Liu, Mao and Yue (2018). The almost sure stability of the method is also investigated. Numerical simulations are presented to demonstrate the theoretical results.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.