Inspired by the truncated Euler-Maruyama method developed in Mao (J. Comput. Appl. Math. 2015), we propose the truncated Milstein method in this paper. The strong convergence rate is proved to be close to 1 for a class of highly non-linear stochastic differential equations. Numerical examples are given to illustrate the theoretical results.
@article{arxiv.1704.04135,
title = {The truncated milstein method for stochastic differential equations},
author = {Qian Guo and Wei Liu and Xuerong Mao and Rongxian Yue},
journal= {arXiv preprint arXiv:1704.04135},
year = {2017}
}