A New Efficient Explicit Scheme of Order 1.5 for SDE with Super-linear Drift Coefficient

MaRDI QIDQ6301882zbMATH OpenFDO

Authors Tejinder Kumar, Chaman Kumar

Publication date 21 May 2018

Abstract: We propose a new explicit numerical scheme for stochastic differential equation with super-linearly growing drift and linearly growing diffusion coefficients which are also twice continuously differentiable. The rate of strong convergence in $mathcal{L}^p$-norm is shown to be equal to $1.5$. Moreover, the scheme is computationally more efficient that the corresponding scheme available in the literature.

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