A New Efficient Explicit Scheme of Order 1.5 for SDE with Super-linear Drift Coefficient

2018/05/21 by Kumar, Tejinder, Kumar, Chaman
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1805.07976

Abstract

We propose a new explicit numerical scheme for stochastic differential equation with super-linearly growing drift and linearly growing diffusion coefficients which are also twice continuously differentiable. The rate of strong convergence in L^p-norm is shown to be equal to 1.5. Moreover, the scheme is computationally more efficient that the corresponding scheme available in the literature.

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