Article ID Journal Published Year Pages File Type
4644787 Applied Numerical Mathematics 2017 16 Pages PDF
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
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