Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients
Author:
Funder
National Natural Science Foundation of China
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics,Numerical Analysis
Reference38 articles.
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Cited by 4 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Convergence rate and exponential stability of backward Euler method for neutral stochastic delay differential equations under generalized monotonicity conditions;Numerical Algorithms;2024-06-28
2. An exponential split-step double balanced $$\vartheta $$ Milstein scheme for SODEs with locally Lipschitz continuous coefficients;Journal of Applied Mathematics and Computing;2024-01-25
3. Convergence Rates of Split-Step Theta Methods for SDEs with Non-Globally Lipschitz Diffusion Coefficients;East Asian Journal on Applied Mathematics;2023-06
4. Split-step theta Milstein methods for SDEs with non-globally Lipschitz diffusion coefficients;Applied Numerical Mathematics;2022-10
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