A New Approach to Compare the Strong Convergence of the Milstein Scheme with the Approximate Coupling Method
Milstein and approximate coupling approaches are compared for the pathwise numerical solutions to stochastic differential equations (SDE) driven by Brownian motion. These methods attain an order one convergence under the nondegeneracy assumption of the diffusion term for the approximate coupling met...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-06-01
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| Series: | Fractal and Fractional |
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| Online Access: | https://www.mdpi.com/2504-3110/6/6/339 |