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

Chaman Kumar, Sotirios Sabanis

Research output: Contribution to journalArticlepeer-review

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 to the solution of the corresponding SDEs with optimal rate.
Original languageEnglish
Number of pages40
JournalBit numerical mathematics
Early online date19 Jun 2019
DOIs
Publication statusPublished - 31 Dec 2019

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