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math.PR2019
On Explicit Tamed Milstein-type scheme for Stochastic Differential Equation with Markovian Switching
Chaman Kumar, Tejinder Kumar
We propose a new tamed Milstein-type scheme for stochastic differential equation with Markovian switching when drift coefficient is assumed to grow super-linearly. The strong rate…
math.PR2019
A Note on Explicit Milstein-Type Scheme for Stochastic Differential Equation with Markovian Switching
Chaman Kumar, Tejinder Kumar
An explicit Milstein-type scheme for stochastic differential equation with Markovian switching is derived and its strong convergence in -sense is established without…