Milstein-type Schemes of SDE Driven by L\'evy Noise with Super-linear Diffusion Coefficients
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🧮 math.PR
cs.NAmath.NA
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coefficientsdiffusiondrivenmilstein-typenoisesuper-linearconvergencedifferential
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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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