Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
8902576 | Applied Numerical Mathematics | 2018 | 14 Pages |
Abstract
This paper shows a discretization method of solution to stochastic differential equations as an extension of the Milstein scheme. With a simple method, we reconstruct weak Milstein scheme through second order polynomials of Brownian motions without assuming the Lie bracket commutativity condition on vector fields imposed in the classical Milstein scheme and show a sharp error bound for it. Numerical example illustrates the validity of the scheme.
Related Topics
Physical Sciences and Engineering
Mathematics
Computational Mathematics
Authors
Toshihiro Yamada,