On tamed milstein schemes of SDEs driven by Lévy noise

By Chaman Kumar, Sotirios Sabanis. 2014

50 citations recorded by the source corpus.

We extend the taming techniques developed in [ 3 , 19 ] to construct explicit Milstein schemes that numerically approximate Levy 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.

Subfields: Computational Mechanics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/e39f9b7d013b16b9ac15e89bed12cdda32648a64