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arXiv · 1407.5347

On Tamed Milstein Schemes of SDEs Driven by L\'evy Noise

Chaman Kumar·Sotirios Sabanis
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Abstract

We extend the taming techniques developed in \cite{konstantinos2014,sabanis2013} to construct explicit Milstein schemes that numerically approximate L\'evy 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.

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Chaman Kumar, Sotirios Sabanis. 2014-07-20. On Tamed Milstein Schemes of SDEs Driven by L\'evy Noise. https://arxiv.org/abs/1407.5347

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