Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift

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Authors: Verena Schwarz
Cited by: 0
References: 65

Abstract

We present an adaptive approximation scheme for jump-diffusion SDEs with discontinuous drift and (possibly) degenerate diffusion. This transformation-based doubly-adaptive quasi-Milstein scheme is the first scheme that has strong convergence rate $1$ in terms of the number of evaluations of the driving noise processes in $L^p$ for $p\in[1,\infty)$. To obtain our result, we prove that under slightly stronger assumptions, which are still weaker than those in the existing literature, a related doubly-adaptive quasi-Milstein scheme has convergence order $1$. This scheme is doubly-adaptive in the sense that it is jump-adapted, i.e. all jump times of the Poisson noise are grid points, and it includes an adaptive step-size strategy to account for the discontinuities of the drift.

Fields of Study & Subjects

Stochastic processes and financial applications Differential Equations and Numerical Methods

Publication details

Journal / source
Journal of Complexity
Publisher
Elsevier BV
Volume
96
Pages
102051–102051
Publication date
30 April 2026
Language
EN