The truncated $\theta$-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
Numerical Analysis
2021-12-28 v2 Numerical Analysis
Probability
Abstract
This paper focuses on the strong convergence of the truncated -Milstein method for a class of nonautonomous stochastic differential delay equations whose drift and diffusion coefficients can grow polynomially. The convergence rate, which is close to one, is given under the weaker assumption than the monotone condition. To verify our theoretical findings, we present a numerical example.
Cite
@article{arxiv.2112.11006,
title = {The truncated $\theta$-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations},
author = {Shuaibin Gao and Junhao Hu and Jie He and Qian Guo},
journal= {arXiv preprint arXiv:2112.11006},
year = {2021}
}