Convergence and Stability of a Split-Step Exponential Scheme Based on the Milstein Methods
We introduce two approaches by modifying split-step exponential schemes to study stochastic differential equations. Under the Lipschitz condition and linear-growth bounds, it is shown that our explicit schemes converge to the solution of the corresponding stochastic differential equations with the o...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-11-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/14/11/2413 |