The truncated milstein method for stochastic differential equations

Published 13 Apr 2017 in math.NA | (1704.04135v2)

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. Numerical examples are given to illustrate the theoretical results.

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