TY - JOUR
T1 - On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
AU - Kumar, Chaman
AU - Sabanis, Sotirios
N1 - Springer Compact Gold OA
PY - 2019/12/31
Y1 - 2019/12/31
N2 - 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.
AB - 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.
U2 - 10.1007/s10543-019-00756-5
DO - 10.1007/s10543-019-00756-5
M3 - Article
SN - 0006-3835
JO - Bit numerical mathematics
JF - Bit numerical mathematics
ER -