Shi-Ye Wan

Strong convergence rates of stochastic theta Milstein methods for index-1 stochastic differential algebraic equations under non-globally Lipschitz conditions

This paper studies the strong convergence order of structure-preserving stochastic theta Milstein methods for a class of index-$1$ stochastic differential algebraic equations (SDAEs) with time-dependent singular matrices and non-globally Lipschitz coefficients. The singular matrix is allowed to vary in time while prese...