2 problems

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Extension of path sensitivity convergence analysis to the first-order Milstein scheme
The note studies strong convergence of path sensitivity approximations for stochastic numerical schemes. In particular, its analysis establishes strong convergence for Euler–Maruya…
Conjectureopenmilstein-scheme path-sensitivities stochastic-numerical-analysisarXiv posted 2 days ago
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Mean square stability conjecture for the stochastic theta method in the intermediate parameter range
Consider the time non-homogeneous linear test equation driven by fractional Brownian motion … where $H$ is the Hurst parameter, $\kappa$ is the time-inhomogeneity parameter, and…
Conjectureopenfractional-brownian-motion mean-square-stability stochastic-numerical-analysisarXiv posted 2 days ago

Extension of path sensitivity convergence analysis to the first-order Milstein scheme