Lecture: Higher-order approximation and optimality of jump-diffusion SDEs with...
Master data
Title: | Higher-order approximation and optimality of jump-diffusion SDEs with discontinuous drift |
Description: | In this talk we consider the approximation of jump-diffusion stochastic differential equations with discontinuous drift, possibly degenerate diffusion coefficient, and Lipschitz continuous jump coefficient. We present a jump-adapted higher-order scheme, the so-called transformation-based jump-adapted quasi-Milstein scheme. For this scheme, we provide a complete error analysis: We prove convergence order 3/4 in Lp for p∈[1,∞). Further, we provide lower error bounds for non-adaptive and jump-adapted approximation schemes of order 3/4 in L1. This yields optimality of the transformation-based jump-adapted quasi-Milstein scheme. This is joint work with Paweł Przybyłowicz and Michaela Szölgyenyi. |
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Type: | Guest lecture |
Homepage: | https://www.chalmers.se/en/current/calendar/mv-cam-seminar/ |
Event: | - |
Date: | 18.03.2024 |
lecture status: | stattgefunden (Präsenz) |
City: | Chalmers University of Technology & University of Gothenburg |
Country: | Sweden |
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Fakultät für Technische Wissenschaften
Institut für Statistik
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AT - 9020 Klagenfurt am Wörthersee |
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