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

DOI10.3934/dcdsb.2020167zbMath1470.60156OpenAlexW3027254781MaRDI QIDQ2029741

Chaman Kumar

Publication date: 4 June 2021

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2020167

zbMATH Keywords

explicit schemerate of strong convergencesuper-linear coefficientsSDE driven by Lévy noisetamed Milstein-type scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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