Generalized two-step Milstein methods for stochastic differential equations
| Autor: | Hongjiong Tian, Quanwei Ren |
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| Rok vydání: | 2019 |
| Předmět: |
Class (set theory)
Applied Mathematics Two step 010103 numerical & computational mathematics 01 natural sciences Mean square convergence Computer Science Applications 010101 applied mathematics Stochastic differential equation Computational Theory and Mathematics Consistency (statistics) Applied mathematics 0101 mathematics Mathematics |
| Zdroj: | International Journal of Computer Mathematics. 97:1363-1379 |
| ISSN: | 1029-0265 0020-7160 |
| DOI: | 10.1080/00207160.2019.1618846 |
| Popis: | The main aim of this study is to propose a class of generalized two-step Milstein methods for solving Ito stochastic differential equations. We study their mean-square consistency and mean-square c... |
| Databáze: | OpenAIRE |
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