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20162022
most citedA note on convergence and stability of the truncated Milstein method for stochastic differential equations

3 citations · 4 across the 4 of their papers we have counts for

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math.NA2016

Multi-level Monte Carlo methods with the Truncated Euler-Maruyama Scheme for Stochastic Differential Equations

Qian Guo, Wei Liu, Xuerong Mao +1

In this paper, the truncated Euler-Maruyama (EM) method is employed together with the Multi-level Monte Carlo (MLMC) method to approximate the expectations of functions of solution…