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 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}
}