Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift

Fuente: arXiv
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Main Author: Schwarz, Verena
Format: Preprint
Published: 2025
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author Schwarz, Verena
author_facet Schwarz, Verena
contents We present an adaptive approximation scheme for jump-diffusion SDEs with discontinuous drift and (possibly) degenerate diffusion. This transformation-based doubly-adaptive quasi-Milstein scheme is the first scheme that has strong convergence rate $1$ in terms of the number of evaluations of the driving noise processes in $L^p$ for $p\in[1,\infty)$. To obtain our result, we prove that under slightly stronger assumptions, which are still weaker than those in the existing literature, a related doubly-adaptive quasi-Milstein scheme has convergence order $1$. This scheme is doubly-adaptive in the sense that it is jump-adapted, i.e. all jump times of the Poisson noise are grid points, and it includes an adaptive step-size strategy to account for the discontinuities of the drift.
format Preprint
id arxiv_https___arxiv_org_abs_2504_09452
institution arXiv
publishDate 2025
record_format arxiv
spellingShingle Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift
Schwarz, Verena
Numerical Analysis
Probability
60H10, 65C30, 65C20
We present an adaptive approximation scheme for jump-diffusion SDEs with discontinuous drift and (possibly) degenerate diffusion. This transformation-based doubly-adaptive quasi-Milstein scheme is the first scheme that has strong convergence rate $1$ in terms of the number of evaluations of the driving noise processes in $L^p$ for $p\in[1,\infty)$. To obtain our result, we prove that under slightly stronger assumptions, which are still weaker than those in the existing literature, a related doubly-adaptive quasi-Milstein scheme has convergence order $1$. This scheme is doubly-adaptive in the sense that it is jump-adapted, i.e. all jump times of the Poisson noise are grid points, and it includes an adaptive step-size strategy to account for the discontinuities of the drift.
title Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift
topic Numerical Analysis
Probability
60H10, 65C30, 65C20
url https://arxiv.org/abs/2504.09452