Optimal global approximation of stochastic differential equations with additive Poisson noise

DOI10.1007/s11075-016-0097-8zbMath1354.65014OpenAlexW2284921207MaRDI QIDQ329304

Paweł Przybyłowicz

Publication date: 21 October 2016

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-016-0097-8

zbMATH Keywords

error boundEuler methodPoisson processstochastic differential equations with jumpsasymptotically optimal algorithmminimal strong errorstep-size control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error bounds for numerical methods for ordinary differential equations (65L70) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

Related Items (10)

Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh ⋮ Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process ⋮ Optimal sampling design for global approximation of jump diffusion stochastic differential equations ⋮ The truncated EM method for stochastic differential equations with Poisson jumps ⋮ Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs ⋮ Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise ⋮ Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control ⋮ Optimal global approximation of jump-diffusion SDEs via path-independent 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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