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On tamed euler appr...
On tamed euler approximations of sdes driven by levy noise with applications to delay equations
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- Dareiotis, Konstantinos (author)
- Uppsala universitet,Analys och sannolikhetsteori
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- Kumar, Chaman (author)
- Univ Edinburgh, Sch Math, Edinburgh EH9 3JZ, Midlothian, Scotland.
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- Sabanis, Sotirios (author)
- Univ Edinburgh, Sch Math, Edinburgh EH9 3JZ, Midlothian, Scotland.
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(creator_code:org_t)
- Society for Industrial & Applied Mathematics (SIAM), 2016
- 2016
- English.
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In: SIAM Journal on Numerical Analysis. - : Society for Industrial & Applied Mathematics (SIAM). - 0036-1429 .- 1095-7170. ; 54:3, s. 1840-1872
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Abstract
Subject headings
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- 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.
Subject headings
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Keyword
- explicit Euler approximations
- rate of convergence
- local Lipschitz condition
- superlinear growth
- SDEs driven by Levy noise
- delay equations
Publication and Content Type
- ref (subject category)
- art (subject category)
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