Strong Convergence of Split-Step Forward Methods for Stochastic Differential Equations Driven by SS processes

Abstract. We consider stochastic differential equation driven by -stable processes. Three methods of drifting split-step Euler, diffusedsplit-step Euler and three-stage Milstein for approximation of solutionare used. The strong convergence of these three methods is proven andthe upper bounds of their stabilities are obtained and depicted.