The truncated Milstein method for stochastic differential equations with commutative noise-Reference-Cited by-同舟云学术

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The truncated Milstein method for stochastic differential equations with commutative noise

Published:2018-08 Issue: Volume:338 Page:298-310
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Guo Qian,Liu Wei^ORCID,Mao Xuerong,Yue Rongxian

Funder

National Natural Science Foundation of China

Shanghai Education Development Foundation

Shanghai Municipal Education Commission

EPSRC

Leverhulme Trust

Royal Society

Natural Science Foundation of China

Natural Science Foundation of Shanghai

E-Institutes of Shanghai Municipal Education Commission

Ministry of Education (MOE) of China

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference37 articles.

1. Modeling with Itô Stochastic Differential Equations;Allen,2007

2. Stochastic Differential Equations, An Introduction With Applications;Oksendal,2003

3. Stochastic Differential Equations and Applications;Mao,2007

4. Numerical Solution of Stochastic Differential Equations;Kloeden,1992

5. Stochastic Numerics for Mathematical Physics;Milstein,2004

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