Adaptive Weak Approximation of Diffusions with Jumps

DOI10.1137/060669632zbMATH Open1169.65302arXivmath/0609186OpenAlexW2056380017MaRDI QIDQ3395069FDOQ3395069

Authors: Ernesto Mordecki, Anders Szepessy, R. Tempone, Georgios E. Zouraris 

Publication date: 20 August 2009

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Abstract: This work develops Monte Carlo Euler adaptive time stepping methods for the weak approximation problem of jump diffusion driven stochastic differential equations. The main result is the derivation of a new expansion for the omputational error, with computable leading order term in a posteriori form, based on stochastic flows and discrete dual backward problems which extends the results in [STZ]. These expansions lead to efficient and accurate computation of error estimates. Adaptive algorithms for either stochastic time steps or quasi-deterministic time steps are described. Numerical examples show the performance of the proposed error approximation and of the described adaptive time-stepping methods.

Full work available at URL: https://arxiv.org/abs/math/0609186

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zbMATH Keywords

a posteriori error estimatesweak approximationerror controldiffusions with jumpsbackward dual functionsEuler-maruyama method

Mathematics Subject Classification ID

Complexity and performance of numerical algorithms (65Y20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

Cited In (32)

• Adaptive Monte Carlo Algorithms for Stopped Diffusion
• Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
• Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps
• An adaptive time-stepping method based on a posteriori weak error analysis for large SDE systems
• Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation
• Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
• Diffusion approximation of Lévy processes with a view towards finance
• Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity
• Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
• Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*
• Optimal simulation schemes for Lévy driven stochastic differential equations
• Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
• Jump-adapted discretization schemes for Lévy-driven SDEs
• Adaptive weak approximation of reflected and stopped diffusions
• Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients
• Adaptive weak approximation of stochastic differential equations
• Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
• Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions
• Runge-Kutta methods for jump-diffusion differential equations
• High order weak approximation schemes for Lévy-driven SDEs
• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
• A continuation multilevel Monte Carlo algorithm
• Weak and strong error analysis of recursive quantization: a general approach with an application to jump diffusions
• Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
• Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
• Towards automatic global error control: Computable weak error expansion for the tau-leap method
• An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
• Stochastic approximation finite element method: analytical formulas for multidimensional diffusion process
• Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• Total variation distance between a jump-equation and its Gaussian approximation

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