ON MILSTEIN-TYPE SCHEME FOR SDE DRIVEN BY LEVY NOISE WITH SUPER-LINEAR COEFFICIENTS

被引：4
|
作者：
Kumar, Chaman [1 ]
机构：
[1] Indian Inst Technol Roorkee, Dept Math, Roorkee 247667, Uttarakhand, India
来源：
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B | 2021年 / 26卷 / 03期
关键词：
Tamed Milstein-type scheme; super-linear coefficients; SDE driven by Levy noise; explicit scheme; rate of strong convergence; VARYING COEFFICIENTS; EULER APPROXIMATIONS; EXPLICIT; CONVERGENCE;
D O I：
10.3934/dcdsb.2020167
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
A new explicit Milstein-type scheme for SDE driven by Levy noise is proposed where both drift and diffusion coefficients are allowed to grow superlinearly. The strong rate of convergence (in 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.
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页码：1405 / 1446
页数：42
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