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

DOI10.1016/j.amc.2021.126191OpenAlexW3136686389MaRDI QIDQ2242830

Michaela Szölgyenyi, Paweł Przybyłowicz

Publication date: 10 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.04215

zbMATH Keywords

existence and uniquenessEuler-Maruyama schemediscontinuous driftstrong convergence ratejump-diffusion stochastic differential equation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)

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