Simulating systems of Itô SDEs with split-step (α,β)-Milstein scheme
In the present study, we provide a new approximation scheme for solving stochastic differential equations based on the explicit Milstein scheme. Under sufficient conditions, we prove that the split-step (α,β)-Milstein scheme strongly convergence to the exact solution with order 1.0 in mean-square se...
Main Authors: | , , , |
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Format: | Article |
Language: | English |
Published: |
AIMS Press
2023-01-01
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Series: | AIMS Mathematics |
Subjects: | |
Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2023133?viewType=HTML |