Strong convergence of a class of adaptive numerical methods for SDEs with jumps

Cónall Kelly, Gabriel J. Lord and Fandi Sun

Mathematics and Computers in Simulation (MATCOM), 2025, vol. 227, issue C, 461-476

Abstract: We develop adaptive time-stepping strategies for Itô-type stochastic differential equations (SDEs) with jump perturbations. Our approach builds on adaptive strategies for SDEs.

Keywords: Stochastic jump differential equations; Adaptive timestepping; Jump-adapted mesh; Non-globally Lipschitz coefficients; Strong convergence (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:227:y:2025:i:c:p:461-476

DOI: 10.1016/j.matcom.2024.08.020

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