Optimal global approximation of stochastic differential equations with additive Poisson noise

DOI10.1007/s11075-016-0097-8zbMath1354.65014OpenAlexW2284921207MaRDI QIDQ329304

Paweł Przybyłowicz

Publication date: 21 October 2016

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-016-0097-8

zbMATH Keywords

error boundEuler methodPoisson processstochastic differential equations with jumpsasymptotically optimal algorithmminimal strong errorstep-size control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

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