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

DOI10.1016/j.apnum.2018.01.024zbMath1486.65009OpenAlexW2793754387MaRDI QIDQ1743399

Paweł Przybyłowicz, Andrzej Kałuża

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

zbMATH Keywords

Wiener processnonhomogeneous Poisson processminimal erroradaptive step-size controlasymptotically optimal algorithmSDEs 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)

Related Items (8)

Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh ⋮ Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure ⋮ Optimal sampling design for global approximation of jump diffusion stochastic differential equations ⋮ Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise ⋮ Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems ⋮ Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control ⋮ Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift ⋮ On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps

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