Milstein-type Schemes of SDE Driven by Lévy Noise with Super-linear Diffusion Coefficients
arXiv:1707.023433 citations
AI Analysis
It addresses the need for efficient numerical methods for a class of SDEs with non-globally Lipschitz coefficients, which is relevant for researchers in stochastic numerics.
The paper develops a Milstein-type numerical scheme for SDEs driven by Lévy noise with super-linear diffusion coefficients and proves its strong convergence. No concrete numerical results are provided.
We present a Milstein-type scheme for stochastic differential equations driven by Lévy noise with super-linear diffusion coefficients and establish its strong convergence.