Dareiotis, K, Kumar, C and Sabanis, S (2016) On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations. SIAM Journal on Numerical Analysis, 54 (3). pp. 1840-1872. ISSN 0036-1429
Abstract
We extend the taming techniques for explicit Euler approximations of stochastic differential equations driven by Lévy 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.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2016, Society for Industrial and Applied Mathematics. Reproduced in accordance with the publisher's self-archiving policy. |
Keywords: | explicit Euler approximations; rate of convergence; local Lipschitz condition; superlinear growth; SDEs driven by Lévy noise; delay equations |
Dates: |
|
Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 06 Nov 2019 11:24 |
Last Modified: | 25 Jun 2023 22:03 |
Status: | Published |
Publisher: | Society for Industrial and Applied Mathematics |
Identification Number: | 10.1137/151004872 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:153170 |