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

Chaman Kumar, Sotirios Sabanis

Research output: Working paper

Abstract / Description of output

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 $\mathcal L^p$ to the solution of the corresponding SDEs with optimal rate.
Original languageEnglish
PublisherArXiv
Number of pages31
Publication statusPublished - 11 Jan 2016

Keywords / Materials (for Non-textual outputs)

  • math.PR
  • math.NA

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