Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift

DOI10.1016/J.AMC.2021.126191arXiv1912.04215MaRDI QIDQ6330772FDOQ6330772

Authors: Paweł Przybyłowicz, Michaela Szölgyenyi 

Publication date: 9 December 2019

Abstract: In this paper we study jump-diffusion stochastic differential equations (SDEs) with a discontinuous drift coefficient and a possibly degenerate diffusion coefficient. Such SDEs appear in applications such as optimal control problems in energy markets. We prove existence and uniqueness of strong solutions. In addition we study the strong convergence order of the Euler-Maruyama scheme and recover the optimal rate $1/2$.

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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