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On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients
Discrete and Continuous Dynamical Systems-Series B ( IF 1.3 ) Pub Date : 2020-05-15 , DOI: 10.3934/dcdsb.2020167
Chaman Kumar ,

A new explicit Milstein-type scheme for SDE driven by Lévy noise is proposed where both drift and diffusion coefficients are allowed to grow super-linearly. The strong rate of convergence (in $ \mathcal{L}^2 $-sense) is shown to be arbitrarily close to one which is consistent with the corresponding result on the classical Milstein scheme obtained for coefficients satisfying global Lipschitz conditions.

中文翻译:

具有超线性系数的Lévy噪声驱动的SDE的Milstein型方案

提出了一种新的由Lévy噪声驱动的SDE的显式Milstein型方案,其中漂移系数和扩散系数都允许超线性增长。强大的收敛速度(以$ \ mathcal {L} ^ 2 $ -sense)被证明是任意接近的,这与经典Milstein方案针对满足全局Lipschitz条件的系数所获得的相应结果是一致的。
更新日期:2020-05-15
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