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math.NA2017★ 2 cited
The truncated milstein method for stochastic differential equations
Qian Guo, Wei Liu, Xuerong Mao +1
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…
math.NA2017★ 59 cited
The Truncated Euler-Maruyama Method for Stochastic Differential Delay Equations
Qian Guo, Xuerong Mao, Rongxian Yue
The numerical solutions of stochastic differential delay equations (SDDEs) under the generalized Khasminskii-type condition were discussed by Mao [15], and the theory there showed…