Exact Coupling Method for Stratonovich Stochastic Differential Equation Using Non-Degeneracy for the Diffusion
The method of Davie’s <xref ref-type="bibr" rid="ref5">[5]</xref> describes an easily generated scheme based on the standard order-one Milstein scheme, which is order-one in the Vaserstein metric, provided that the stochastic differential equation has inver...
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| Format: | Article |
| Language: | English |
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IEEE
2019-01-01
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| Series: | IEEE Access |
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| Online Access: | https://ieeexplore.ieee.org/document/8584420/ |