STRONG CONVERGENCE IN Lp OF MILSTEIN METHOD FOR ITÔ STOCHASTIC DIFFERENTIAL EQUATIONS
It is well known that Milstein method gives approximate solutions with strong rate of convergence of order one. The aim of this paper is to prove a strong convergence in Lp sense (for any given p) of Milstein method for 1-dimension of Itô stochastic differential equation of this form
where is the diffusion coefficient and Wt is a Wiener process.
stochastic differential equations, Milstein method, strong convergence, convergence in Lp.
