The truncated Milstein method for stochastic differential equations with commutative noise

Guo, Qian and Liu, Wei and Mao, Xuerong and Yue, Rong-xian (2018) The truncated Milstein method for stochastic differential equations with commutative noise. Journal of Computational and Applied Mathematics, 338. pp. 298-310. ISSN 0377-0427 (https://doi.org/10.1016/j.cam.2018.01.014)

[thumbnail of Guo-etal-JCAM-2018-The-truncated-Milstein-method-for-stochastic-differential-equations]
Preview
 Text. Filename: Guo_etal_JCAM_2018_The_truncated_Milstein_method_for_stochastic_differential_equations.pdf
Final Published Version
License: Creative Commons Attribution 4.0 logo
Download (387kB)| Preview

Abstract

Inspired by the truncated Euler-Maruyama method developed in Mao (J. Comput. Appl. Math. 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.

ORCID iDs

Guo, Qian, Liu, Wei, Mao, Xuerong ORCID logoORCID: https://orcid.org/0000-0002-6768-9864 and Yue, Rong-xian;
CORE (COnnecting REpositories)