On Milstein approximations with varying coefficients: the case of super-linear diffusion coefficients
作者： Chaman Kumar , Sotirios Sabanis
DOI: 10.1007/S10543-019-00756-5
关键词: Diffusion (business) 、 Applied mathematics 、 Linear diffusion 、 Stochastic differential equation 、 Mathematics
摘要: A new class of explicit Milstein schemes, which approximate stochastic differential equations (SDEs) with superlinearly growing drift and diffusion coefficients, is proposed in this article. It shown, under very mild conditions, that these schemes converge $$\mathscr {L}^p$$ to the solution corresponding SDEs optimal rate.
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