Showing a limited preview of this publication:
Convergence, consistency, stability and pathwise positivity of balanced Milstein methods for numerical integration of ordinary stochastic differential equations (SDEs) are discussed. This family of numerical methods represents a class of highly efficient linear-implicit schemes which generate mean square converging numerical approximations with qualitative improvements and global rate 1. 0 of mean square convergence, compared to commonly known numerical methods for SDEs with Lipschitzian coefficients.
Published Online: --
Published in Print: 2006-04-01
Copyright 2006, Walter de Gruyter
