Work

Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients

Year: 2023

Type: article

Source: Advances in Computational Mathematics

DOI: 10.1007/s10444-023-10034-2

Author: Xiaojie Wang

Institution: Central South University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Natural Science Foundation of China, Natural Science Foundation of Hunan Province

Awards: G4860827470, 局部单调性条件下的随机微分方程数值方法研究, G8996470866

OpenAlex ID: W4379800847

FWCI: 4.858

Cites: 50

Cited by: 24

Related to: 10