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THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM
Journal article

THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM

Yousef Alnafisah
ADVANCES IN DIFFERENTIAL EQUATIONS AND CONTROL PROCESSES, Vol.19(4), pp.405-417
12/12/2018
DOI: https://doi.org/10.17654/DE019040405

Abstract

Mathematics Mathematics, Applied Physical Sciences Science & Technology
We show the convergence of the Milstein scheme in two-dimensional stochastic differential equations using a Matlab implementation for a particular class of invertible stochastic differential equations. In the implementation, we get an order one approximation under a nondegeneracy assumption.

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