Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4644787 | Applied Numerical Mathematics | 2017 | 16 Pages |
Abstract
We introduce a class of explicit balanced schemes for stochastic differential equations with coefficients of superlinearly growth satisfying a global monotone condition. The first scheme is a balanced Euler scheme and is of order half in the mean-square sense whereas it is of order one under additive noise. The second scheme is a balanced Milstein scheme, which is of order one in the mean-square sense. Some numerical results are presented.
Related Topics
Physical Sciences and Engineering
Mathematics
Computational Mathematics
Authors
Zhongqiang Zhang, Heping Ma,