On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients
From MaRDI portal
Publication:2029741
DOI10.3934/dcdsb.2020167zbMath1470.60156OpenAlexW3027254781MaRDI QIDQ2029741
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
explicit schemerate of strong convergencesuper-linear coefficientsSDE driven by Lévy noisetamed Milstein-type scheme
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)
Related Items
Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems ⋮ Foreign exchange options on Heston-CIR model under Lévy process framework
Cites Work
- Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
- Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
- Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
- On tamed Milstein schemes of SDEs driven by Lévy noise
- A note on tamed Euler approximations
- Numerical solution of stochastic differential equations with jumps in finance
- Evolutionary dynamics with aggregate shocks
- Population growth with randomly distributed jumps
- On explicit order 1.5 approximations with varying coefficients: the case of super-linear diffusion coefficients
- Theory of stochastic differential equations with jumps and applications.
- On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
- Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
- On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients
- On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations
- Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
- A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications