A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

By Xiaojie Wang, Siqing Gan, Desheng Wang. 2012

48 citations recorded by the source corpus.

Subfields: Computational Mechanics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/830c06b93dea13df13d43123bdb5502191b96918