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Milstein-type Schemes of SDE Driven by L\'evy Noise with Super-linear Diffusion Coefficients

Probability 2017-07-11 v1 Numerical Analysis
Authors: Chaman Kumar
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Abstract

We present a Milstein-type scheme for stochastic differential equations driven by L\'evy noise with super-linear diffusion coefficients and establish its strong convergence.

Keywords

Milstein-type scheme stochastic differential equation Lévy noise super-linear diffusion coefficient strong convergence numerical approximation

Cite

@article{arxiv.1707.02343,
  title  = {Milstein-type Schemes of SDE Driven by L\'evy Noise with Super-linear Diffusion Coefficients},
  author = {Chaman Kumar},
  journal= {arXiv preprint arXiv:1707.02343},
  year   = {2017}
}

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