Milstein-type Schemes of SDE Driven by Lévy Noise with Super-linear Diffusion Coefficients

Abstract

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

Cited by in corpus (2)

• Strong and weak divergence of exponential and linear-implicit Euler approximations for stochastic partial differential equations with superlinearly growing nonlinearities
• Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise