A Milstein-type method for highly non-linear non-autonomous time-changed stochastic differential equations
Numerical Analysis
2023-08-29 v1 Numerical Analysis
Probability
Abstract
A Milstein-type method is proposed for some highly non-linear non-autonomous time-changed stochastic differential equations (SDEs). The spatial variables in the coefficients of the time-changed SDEs satisfy the super-linear growth condition and the temporal variables obey some H\"older's continuity condition. The strong convergence in the finite time is studied and the convergence order is obtained.
Keywords
Cite
@article{arxiv.2308.13999,
title = {A Milstein-type method for highly non-linear non-autonomous time-changed stochastic differential equations},
author = {Wei Liu and Ruoxue Wu and Ruchun Zuo},
journal= {arXiv preprint arXiv:2308.13999},
year = {2023}
}
Comments
25 pages, 2 figures