# Milstein method

## Papers overview

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2015

2015

- Foundations of Computational Mathematics
- 2015

This article studies an infinite dimensional analog of Milsteinâ€™s scheme for finite dimensional stochastic ordinary differentialâ€¦Â (More)

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2013

2013

- 2013

Stochastic delay differential equations (SDDEs) are often used to model some problems with aftereffect in many scientific fieldsâ€¦Â (More)

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2012

2012

- 2012

The Milstein scheme is the simplest nontrivial numerical scheme for stochastic differential equations with a strong order ofâ€¦Â (More)

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2012

2012

- 2012

In this paper, we consider the problem of computing numerical solutions for stochastic differential equations (SDEs) of ItÃ´ formâ€¦Â (More)

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2011

2011

- Mathematics and Computers in Simulation
- 2011

In this article we compare the mean-square stability properties of the Î¸-Maruyama and Î¸-Milstein method that are used to solveâ€¦Â (More)

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2009

2009

- 2009

Weighted power variations of fractional Brownian motion B are used to compute the exact rate of convergence of some approximatingâ€¦Â (More)

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Highly Cited

2008

Highly Cited

2008

- 2008

In this paper we show that the Milstein scheme can be used to improve the convergence of the multilevel Monte Carlo method forâ€¦Â (More)

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Highly Cited

2008

Highly Cited

2008

- 2008

Christopher J. Mayer is Paul Milstein Professor of Finance and Economics, Columbia Business School, New York, New York. He isâ€¦Â (More)

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2001

Highly Cited

2001

- SIAM Review
- 2001

A practical and accessible introduction to numerical methods for stochastic differential equations is given. The reader isâ€¦Â (More)

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1998

1998

- 1998

This paper is concerned with the estimation of stochastic differential equations when only discrete observations are availableâ€¦Â (More)

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