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• W4283020423 abstract "Milstein and approximate coupling approaches are compared for the pathwise numerical solutions to stochastic differential equations (SDE) driven by Brownian motion. These methods attain an order one convergence under the nondegeneracy assumption of the diffusion term for the approximate coupling method. We use MATLAB to simulate these methods by applying them to a particular two-dimensional SDE. Then, we analyze the performance of both methods and the amount of time required to obtain the result. This comparison is essential in several areas, such as stochastic analysis, financial mathematics, and some biological applications." @default.
• W4283020423 created "2022-06-18" @default.
• W4283020423 creator A5087443476 @default.
• W4283020423 date "2022-06-17" @default.
• W4283020423 modified "2023-09-25" @default.
• W4283020423 title "A New Approach to Compare the Strong Convergence of the Milstein Scheme with the Approximate Coupling Method" @default.
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• W4283020423 doi "https://doi.org/10.3390/fractalfract6060339" @default.
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