Strong Convergence Rates for Euler Schemes of Levy-Driven SDE using Dynamic Cutting
Fuente:
arXiv
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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2025
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| _version_ | 1866912331202560000 |
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| author | Platonov, Denis Knopova, Victoria |
| author_facet | Platonov, Denis Knopova, Victoria |
| contents | We derive strong Lp convergence rates for the Euler-Maruyama schemes of Levy-driven SDE using a new dynamic cutting (DC) method with a time-dependent jump threshold. In addition, we present results from numerical simulations comparing the DC and Asmussen-Rosinski (AR) approaches. These simulations demonstrate the superior accuracy achieved by the DC method. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2504_11988 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Strong Convergence Rates for Euler Schemes of Levy-Driven SDE using Dynamic Cutting Platonov, Denis Knopova, Victoria Probability Numerical Analysis We derive strong Lp convergence rates for the Euler-Maruyama schemes of Levy-driven SDE using a new dynamic cutting (DC) method with a time-dependent jump threshold. In addition, we present results from numerical simulations comparing the DC and Asmussen-Rosinski (AR) approaches. These simulations demonstrate the superior accuracy achieved by the DC method. |
| title | Strong Convergence Rates for Euler Schemes of Levy-Driven SDE using Dynamic Cutting |
| topic | Probability Numerical Analysis |
| url | https://arxiv.org/abs/2504.11988 |