Article ID Journal Published Year Pages File Type
8902037 Journal of Computational and Applied Mathematics 2018 13 Pages PDF
Abstract
Inspired by the truncated Euler-Maruyama method developed in Mao (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 with commutative noise. Numerical examples are given to illustrate the theoretical results.
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Physical Sciences and Engineering Mathematics Applied Mathematics
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The truncated Milstein method for stochastic differential equations with commutative noise
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