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Strong convergence of a class of adaptive numerical methods for SDEs with jumps

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  • Kelly, Cónall
  • Lord, Gabriel J.
  • Sun, Fandi

Abstract

We develop adaptive time-stepping strategies for Itô-type stochastic differential equations (SDEs) with jump perturbations. Our approach builds on adaptive strategies for SDEs.

Suggested Citation

  • Kelly, Cónall & Lord, Gabriel J. & Sun, Fandi, 2025. "Strong convergence of a class of adaptive numerical methods for SDEs with jumps," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 227(C), pages 461-476.
    • Handle: RePEc:eee:matcom:v:227:y:2025:i:c:p:461-476
    DOI: 10.1016/j.matcom.2024.08.020
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    References listed on IDEAS

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    1. NicolaBruti-Liberati & Eckhard Platen, 2007. "Strong approximations of stochastic differential equations with jumps," Published Paper Series 2007-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Li, Min & Huang, Chengming & Chen, Ziheng, 2021. "Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps," Applied Mathematics and Computation, Elsevier, vol. 393(C).
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