A scheme with step has strong order of convergence if , and weak order of convergence if for smooth . The Milstein scheme for adds to the Euler–Maruyama step the term .
Quantitative Finance · المسرد
ما معنى Strong and weak orders of convergence, Milstein scheme؟
يُعرف أيضًا باسم: strong order of convergence · weak order of convergence · Milstein scheme