Milstein method

Known as: Milstein 
In mathematics, the Milstein method is a technique for the approximate numerical solution of a stochastic differential equation. It is named after… (More)
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2015
2015
This article studies an infinite dimensional analog of Milstein’s scheme for finite dimensional stochastic ordinary differential… (More)
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2013
2013
Stochastic delay differential equations (SDDEs) are often used to model some problems with aftereffect in many scientific fields… (More)
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2012
2012
The Milstein scheme is the simplest nontrivial numerical scheme for stochastic differential equations with a strong order of… (More)
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2012
2012
  • Samar Sinch
  • 2012
In this paper, we consider the problem of computing numerical solutions for stochastic differential equations (SDEs) of Itô form… (More)
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2011
2011
In this article we compare the mean-square stability properties of the θ-Maruyama and θ-Milstein method that are used to solve… (More)
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2009
2009
Weighted power variations of fractional Brownian motion B are used to compute the exact rate of convergence of some approximating… (More)
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Highly Cited
2008
Highly Cited
2008
In this paper we show that the Milstein scheme can be used to improve the convergence of the multilevel Monte Carlo method for… (More)
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Highly Cited
2008
Highly Cited
2008
Christopher J. Mayer is Paul Milstein Professor of Finance and Economics, Columbia Business School, New York, New York. He is… (More)
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Highly Cited
2001
Highly Cited
2001
A practical and accessible introduction to numerical methods for stochastic differential equations is given. The reader is… (More)
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1998
1998
This paper is concerned with the estimation of stochastic differential equations when only discrete observations are available… (More)
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