The truncated milstein method for stochastic differential equations
arXiv:1704.04135
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.
arXiv comment21 pages, 1 figure
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