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math.NA2021★ 1 cited
Generalized weakly corrected Milstein solutions to stochastic differential equations
Tapas Tripura, Budhaditya Hazra, Souvik Chakraborty
In this work, weakly corrected explicit, semi-implicit and implicit Milstein approximations are presented for the solution of nonlinear stochastic differential equations. The solut…
math.NA2021
A change of measure enhanced near exact Euler Maruyama scheme for the solution to nonlinear stochastic dynamical systems
Tapas Tripura, Mohammad Imran, Budhaditya Hazra +1
The present study utilizes the Girsanov transformation based framework for solving a nonlinear stochastic dynamical system in an efficient way in comparison to other available appr…