Optimal global approximation of jump-diffusion SDEs via path-independent step-size control

DOI10.1016/J.APNUM.2018.01.024zbMATH Open1486.65009OpenAlexW2793754387MaRDI QIDQ1743399FDOQ1743399

Authors: Andrzej Kałuża, Paweł Przybyłowicz 

Publication date: 13 April 2018

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2018.01.024

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zbMATH Keywords

Wiener processminimal erroradaptive step-size controlasymptotically optimal algorithmnonhomogeneous Poisson processSDEs with jumps

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Optimal approximation of stochastic differential equations by adaptive step-size control
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• Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process
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• On tamed Milstein schemes of SDEs driven by Lévy noise

Cited In (11)

• On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
• Adaptive step-size control for global approximation of SDEs driven by countably dimensional Wiener process
• Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
• Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
• Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift
• Optimal global approximation of stochastic differential equations with additive Poisson noise
• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
• Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh
• Optimal sampling design for global approximation of jump diffusion stochastic differential equations
• Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control
• Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise

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