Convergence and Stability of Split-Step Milstein Schemes for Stochastic Differential Equations
Lingzhi Teng, Haomin Zhang & Xiaoting Tao · Asian Research Journal of Mathematics · 2017
In this paper, the mean square convergence and stability of the split-step theta-Milstein schemes for stochastic differential equations are discussed. First, it is shown that these methods are mean square convergent with strong order 1. Then, we investigate the mean square stabil...
Open access
Research Article
10.9734/ARJOM/2017/30465