66 citations · 454 across the 28 of their papers we have counts for
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math.NA2020★ 4 cited
Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients
Xiaojie Wang
A class of implicit Milstein type methods is introduced and analyzed in the present article for stochastic differential equations (SDEs) with non-globally Lipschitz drift and diffu…
math.NA2020
On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
Yuying Zhao, Xiaojie Wang, Mengchao Wang
This article aims to reveal the mean-square convergence rate of the backward Euler method (BEM) for a generalized Ait-Sahaliz interest rate model with Poisson jumps. The main diffi…