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Abstract We introduce a class of explicit balanced schemes for stochastic differential equations with coefficients of superlinearly growth satisfying a global monotone condition. The first scheme is a balanced Euler… Click to show full abstract
Abstract We introduce a class of explicit balanced schemes for stochastic differential equations with coefficients of superlinearly growth satisfying a global monotone condition. The first scheme is a balanced Euler scheme and is of order half in the mean-square sense whereas it is of order one under additive noise. The second scheme is a balanced Milstein scheme, which is of order one in the mean-square sense. Some numerical results are presented.
Keywords:
order preserving;
order;
schemes sdes;
preserving strong;
strong schemes;
scheme
Journal Title: Applied Numerical Mathematics
Year Published: 2017
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Journal Title: Applied Numerical Mathematics
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!