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.

引用

页码：1405 / 1446

页数：42

共 23 条

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