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Christian Kahl, Henri Schurz

Balanced Milstein Methods for Ordinary SDEs

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.

Monte Carlo Methods and Applications, Walter de Gruyter

Print ISSN: 0929-9629
Volume: 12, 04/2006
Pages: 143 - 170

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