Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift

具有不连续漂移的跳跃扩散随机微分方程的误差下界和近似最优性

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Abstract

In this paper sharp lower error bounds for numerical methods for jump-diffusion stochastic differential equations (SDEs) with discontinuous drift are proven. The approximation of jump-diffusion SDEs with non-adaptive as well as jump-adapted approximation schemes is studied and lower error bounds of order 3/4 for both classes of approximation schemes are provided. This yields optimality of the transformation-based jump-adapted quasi-Milstein scheme.

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