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arXiv · 1707.02343

Milstein-type Schemes of SDE Driven by L\'evy Noise with Super-linear Diffusion Coefficients

Chaman Kumar
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Abstract

We present a Milstein-type scheme for stochastic differential equations driven by L\'evy noise with super-linear diffusion coefficients and establish its strong convergence.

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Chaman Kumar. 2017-07-07. Milstein-type Schemes of SDE Driven by L\'evy Noise with Super-linear Diffusion Coefficients. https://arxiv.org/abs/1707.02343

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