On Tamed Milstein Schemes of SDEs Driven by Lévy Noise

Chaman Kumar, Sotirios Sabanis

Research output: Contribution to journalArticlepeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)421-463
JournalDiscrete and Continuous Dynamical Systems - Series B
Volume22
Issue number2
Early online dateDec 2016
Publication statusPublished - Mar 2017

Keywords

  • math.PR
  • Primary 60H35, secondary 65C30

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