- 會議論文
A Derivative-Free Tamed Milstein Scheme for Commutative Stochastic Differential Equations with Nonglobally Lipschitz Continuous Coefficients
並列摘要
In this article, we develop a derivative-free tamed Milstein scheme for commutative stochastic differential equations with globally one-sided Lipschitz continuous drift coefficient and globally Lipschitz continuous diffusion coefficient. The scheme is proven to have order 1 of strong convergence, which is the same as the classic tamed Milstein scheme. However, the scheme is derivative free, which is good for practical applications. The proofs are based on similar procedures in [4] and [1].
被引用紀錄
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延伸閱讀
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- Cialdea, A., Leonessa, V., & Malaspina, A. (2015). The Dirichlet Problem for Second-Order Divergence Form Elliptic Operators with Variable Coefficients: The Simple Layer Potential Ansatz. Abstract and Applied Analysis, (2015), 94-104. https://doi.org/10.1155/2015/276810
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