Optimal sampling design for global approximation of jump diffusion stochastic differential equations

DOI10.1080/17442508.2018.1521810MaRDI QIDQ5086424zbMATH OpenOpenAlexWikidataFDO

Authors Paweł Przybyłowicz

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.08311

zbMATH Keywords

asymptotically optimal algorithmjump commutativity conditionminimal strong errornonhomogeneous Poisson processstandard informationWiener process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Jump processes on general state spaces (60J76)

Abstract: The paper deals with strong global approximation of SDEs driven by two independent processes: a nonhomogeneous Poisson process and a Wiener process. We assume that the jump and diffusion coefficients of the underlying SDE satisfy jump commutativity condition. We establish the exact convergence rate of minimal errors that can be achieved by arbitrary algorithms based on a finite number of observations of the Poisson and Wiener processes. We consider classes of methods that use equidistant or nonequidistant sampling of the Poisson and Wiener processes. We provide a construction of optimal methods, based on the classical Milstein scheme, which asymptotically attain the established minimal errors. The analysis implies that methods based on nonequidistant mesh are more efficient than those based on the equidistant mesh.

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Cited in

(11)

• Optimal global approximation of jump-diffusion SDEs via path-independent step-size control
• Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh
• Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
• Optimal global approximation of stochastic differential equations with additive Poisson noise
• Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
• Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise
• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
• Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
• Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift
• A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis
• Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift

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