Strong approximations of stochastic differential equations with jumps (Q885949): Difference between revisions

Methods yielding strong approximations of stochastic differential equations (SDEs) driven by Wiener processes and Poisson random measures are surveyed. Next, significantly less complicated discrete time approximation schemes are devised for pure jump SDEs. For these equations, strong order of convergence of higher-order Taylor schemes is proved under less restrictive hypotheses than required for more general SDEs.