On Tamed Milstein Schemes of SDEs Driven by Lévy Noise

Abstract

We extend the taming techniques developed in \cite{konstantinos2014,sabanis2013} to construct explicit Milstein schemes that numerically approximate Lévy driven stochastic differential equations with super-linearly growing drift coefficients. The classical rate of convergence is recovered when the first derivative of the drift coefficient satisfies a polynomial Lipschitz condition.

Cited by in corpus (1)

• Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes