Optimal global approximation of stochastic differential equations with additive Poisson noise (Q329304): Difference between revisions

Lower bounds on error are derived for strong global approximations of the scalar stochastic differential equation \[ dX(t)=a(t,X(t))dt+c(t)dN(t),\quad t\in[0,T],\quad X(0)=x_0, \] where \(N\) is a homogeneous Poisson process. Asymptomatically optimal schemes based on the Euler method are constructed. It is shown that when \(N\) is additive Poisson noise, applying adaptive, rather than regular, step-size control to discretize the interval \([0,T]\) yields more efficient schemes.