Convergence and stability of the semi-tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

Yulong Liu, Yuanling Niu, Xiujun Cheng

A new explicit stochastic scheme of order 1 is proposed for solving commutative stochastic differential equations (SDEs) with non-globally Lipschitz continuous coefficients. The pr…