Article Contents
Article Contents

# On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients

The author is supported by Professional Development Allowance (PDA) and Faculty Initiation Grant provided by the Indian Institute of Technology Roorkee

• A new explicit Milstein-type scheme for SDE driven by Lévy noise is proposed where both drift and diffusion coefficients are allowed to grow super-linearly. The strong rate of convergence (in $\mathcal{L}^2$-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.

Mathematics Subject Classification: Primary: 60H10; Secondary: 60H35, 60H15.

 Citation:

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