On Tamed Milstein Schemes of SDEs Driven by Lévy Noise

Original · EN

We extend the taming techniques developed in konstantinos2014,sabanis2013 to construct explicit Milstein schemes that numerically approximate Lévy driven stochastic differential equations with super-linearly growing drift coefficients. The classical rate of convergence is recovered when the first derivative of the drift coefficient satisfies a polynomial Lipschitz condition.