We extend the taming techniques developed in [3, 19] to construct explicit Milstein schemes that numerically approximate Lévy driven stochastic differential equations with super-linearly growing drift coefficients. The classical rate of convergence is recovered when the first derivative of the drift coefficient satisfies a polynomial Lipschitz condition.
|Journal||Discrete and Continuous Dynamical Systems - Series B|
|Early online date||Dec 2016|
|Publication status||Published - Mar 2017|
- Primary 60H35, secondary 65C30