Milstein-type Schemes of SDE Driven by L\'evy Noise with Super-linear Diffusion Coefficients
Chaman Kumar
TL;DR
This paper introduces a Milstein-type numerical scheme for stochastic differential equations driven by Lévy noise with super-linear diffusion coefficients and proves its strong convergence.
Contribution
It develops a new Milstein-type scheme specifically designed for SDEs with Lévy noise and super-linear diffusion, establishing its strong convergence.
Findings
The scheme achieves strong convergence for SDEs with super-linear coefficients.
Theoretical proof of convergence under Lévy noise conditions.
Potential for improved numerical simulations of Lévy-driven SDEs.
Abstract
We present a Milstein-type scheme for stochastic differential equations driven by L\'evy noise with super-linear diffusion coefficients and establish its strong convergence.
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Taxonomy
TopicsStochastic processes and financial applications · Insurance, Mortality, Demography, Risk Management · Financial Risk and Volatility Modeling