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A Milstein-type method for highly non-linear non-autonomous time-changed stochastic differential equations (2308.13999v1)
Published 27 Aug 2023 in math.NA, cs.NA, and math.PR
Abstract: A Milstein-type method is proposed for some highly non-linear non-autonomous time-changed stochastic differential equations (SDEs). The spatial variables in the coefficients of the time-changed SDEs satisfy the super-linear growth condition and the temporal variables obey some H\"older's continuity condition. The strong convergence in the finite time is studied and the convergence order is obtained.
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