Publication: A higher-order approximation method for...
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Title: | A higher-order approximation method for jump-diffusion SDEs with a discontinuous drift coefficient |
Subtitle: | |
Abstract: | We present the first higher-order approximation scheme for solutions of jump-diffusion stochastic differential equations with discontinuous drift. For this transformation-based jump-adapted quasi-Milstein scheme, we prove $L^p$-convergence order 3/4. To obtain this result, we prove that under slightly stronger assumptions (but still weaker than assumptions applied before) a related jump-adapted quasi-Milstein scheme has convergence order 3/4; in a special case it even has convergence order 1. Order 3/4 is conjectured to be optimal. |
Keywords: | Jump-diffusion stochastic differential equations; Discontinuous drift; Strong convergence rate; Jump-adapted scheme; Higher-order scheme |
Publication type: | Article in journal (Authorship) |
Publication date: | 04.04.2024 (Online) |
Published by: |
Journal of Mathematical Analysis and Applications
Journal of Mathematical Analysis and Applications
(
Elsevier B.V.;
)
to publication |
Title of the series: | - |
Volume number: | 538 |
Issue: | 1 |
First publication: | Yes |
Version: | - |
Page: | - |
Total number of pages: | 128319 pp. |
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Keine Version vorhanden |
Publication date: | 04.04.2024 |
ISBN (e-book): | - |
eISSN: | - |
DOI: | http://dx.doi.org/10.1016/j.jmaa.2024.128319 |
Homepage: | https://www.sciencedirect.com/science/article/pii/S0022247X24002415 |
Open access |
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Publication date: | 10.2024 |
ISBN: | - |
ISSN: | 0022-247X |
Homepage: | - |
Assignment
Organisation | Address | ||
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Fakultät für Technische Wissenschaften
Institut für Statistik
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AT - 9020 Klagenfurt am Wörthersee |
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