论文标题
非自治随机微分方程及其修饰的截短米尔斯坦方法
Truncated Milstein method for non-autonomous stochastic differential equations and its modification
论文作者
论文摘要
最初提出的截短的米尔斯坦方法（朱，刘，毛和Yue 2018）扩展到具有超级线性状态变量和Hölder持续时间变量的非自主随机微分方程。融合率已被证明。与最初的工作相比，对台阶的要求也大大释放。另外，采用随机台阶的技术来提高截短的米尔斯坦方法的收敛速率。
The truncated Milstein method, which was initially proposed in (Guo, Liu, Mao and Yue 2018), is extended to the non-autonomous stochastic differential equations with the super-linear state variable and the Hölder continuous time variable. The convergence rate is proved. Compared with the initial work, the requirements on the step-size is also significantly released. In addition, the technique of the randomized step-size is employed to raise the convergence rate of the truncated Milstein method.
