English

On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients

Probability 2016-01-13 v1 Numerical Analysis

Abstract

A new class of explicit Milstein schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in this article. It is shown, under very mild conditions, that these explicit schemes converge in Lp\mathcal L^p to the solution of the corresponding SDEs with optimal rate.

Keywords

Cite

@article{arxiv.1601.02695,
  title  = {On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients},
  author = {Chaman Kumar and Sotirios Sabanis},
  journal= {arXiv preprint arXiv:1601.02695},
  year   = {2016}
}