Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs

DOI10.1016/J.CAM.2023.115631MaRDI QIDQ6126057zbMATH OpenOpenAlexFDO

Authors Paweł Przybyłowicz, Verena Schwarz, Michaela Szölgyenyi

Publication date 9 April 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2212.00411

zbMATH Keywords

\(n\)th minimal errorinformation-based complexityjump-diffusion SDEsLévy's areaoptimality of algorithmsrandomized Milstein algorithm

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Analysis of algorithms and problem complexity (68Q25)

Abstract: We investigate the error of the randomized Milstein algorithm for solving scalar jump-diffusion stochastic differential equations. We provide a complete error analysis under substantially weaker assumptions than known in the literature. In case the jump-commutativity condition is satisfied, we prove optimality of the randomized Milstein algorithm by proving a matching lower bound. Moreover, we give some insight into the multidimensional case by investigating the optimal convergence rate for the approximation of jump-diffusion type L'evys' areas. Finally, we report numerical experiments that support our theoretical findings.

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Cited in

(5)

• An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients
• Randomised Euler-Maruyama method for SDEs with Hölder continuous drift coefficient
• First- and half-order schemes for regime switching stochastic differential equation with non-differentiable drift coefficient
• On the randomized Euler scheme for stochastic differential equations with integral-form drift
• Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift

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