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

We develop adaptive time-stepping strategies for Itô-type stochastic differential equations (SDEs) with jump perturbations. Our approach builds on adaptive strategies for SDEs. Adaptive methods can ensure strong convergence of nonlinear SDEs with drift and diffusion coefficients that violate global Lipschitz bounds by adjusting the stepsize dynamically on each trajectory to prevent spurious growth that can lead to loss of convergence if it occurs with sufficiently high probability. In this article, we demonstrate the use of a jump-adapted mesh that incorporates jump times into the adaptive time-stepping strategy. We prove that any adaptive scheme satisfying a particular mean-square consistency bound for a nonlinear SDE in the non-jump case may be extended to a strongly convergent scheme in the Poisson jump case, where the jump and diffusion perturbations are mutually independent, and the jump coefficient satisfies a global Lipschitz condition.

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Publication Details

Journal
Mathematics and Computers in Simulation
Published
2024-08-22
DOI
https://doi.org/10.1016/j.matcom.2024.08.020
Citations
3
Primary Topic
Numerical methods in inverse problems
Type
article
Field-Weighted Citation Impact
2.67

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article

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

Gabriel J. Lord, Cónall Kelly, Fandi Sun
3 citations
Mathematics and Computers in Simulation
Numerical methods in inverse problems
2.67
article

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

Gabriel J. Lord, Cónall Kelly, Fandi Sun
article en
3 citations

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. Adaptive methods can ensure strong convergence of nonlinear SDEs with drift and diffusion coefficients that violate global Lipschitz bounds by adjusting the stepsize dynamically on each trajectory to prevent spurious growth that can lead to loss of convergence if it occurs with sufficiently high probability. In this article, we demonstrate the use of a jump-adapted mesh that incorporates jump times into the adaptive time-stepping strategy. We prove that any adaptive scheme satisfying a particular mean-square consistency bound for a nonlinear SDE in the non-jump case may be extended to a strongly convergent scheme in the Poisson jump case, where the jump and diffusion perturbations are mutually independent, and the jump coefficient satisfies a global Lipschitz condition.

Mathematics and Computers in SimulationVol. 227
Radboud University Nijmegen (NL), University College Cork (IE), Heriot-Watt University (GB), Maxwell Institute for Mathematical Sciences (GB)
Royal Society of Edinburgh
Openalex Percentile: Top 11%
Numerical methods in inverse problems
2.67
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