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most citedConvergence and stability of two classes of theta-Milstein schemes for stochastic differential equations

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math.NA2015★ 2 cited

Convergence and stability of two classes of theta-Milstein schemes for stochastic differential equations

Xiaofeng Zong, Fuke Wu, Guiping Xu

This paper examines convergence and stability of the two classes of theta-Milstein schemes for stochastic differential equations (SDEs) with non-global Lipschitz continuous coeffic…