On tamed euler approximations of sdes driven by levy noise with applications to delay equations

• We extend the taming techniques for explicit Euler approximations of stochastic differential equations driven by Levy noise with superlinearly growing drift coefficients. Strong convergence results are presented for the case of locally Lipschitz coefficients. Moreover, rate of convergence results are obtained in agreement with classical literature when the local Lipschitz continuity assumptions are replaced by global assumptions and, in addition, the drift coefficients satisfy polynomial Lipschitz continuity. Finally, we further extend these techniques to the case of delay equations.

Ämnesord

NATURVETENSKAP  -- Matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics (hsv//eng)

Nyckelord

explicit Euler approximations

rate of convergence

local Lipschitz condition

superlinear growth

SDEs driven by Levy noise

delay equations

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