On tamed euler approximations of sdes driven by levy noise with applications to delay equations
2016 (English)In: SIAM Journal on Numerical Analysis, ISSN 0036-1429, E-ISSN 1095-7170, Vol. 54, no 3, 1840-1872 p.Article in journal (Refereed) Published
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.
Place, publisher, year, edition, pages
2016. Vol. 54, no 3, 1840-1872 p.
explicit Euler approximations, rate of convergence, local Lipschitz condition, superlinear growth, SDEs driven by Levy noise, delay equations
IdentifiersURN: urn:nbn:se:uu:diva-307465DOI: 10.1137/151004872ISI: 000385026000022OAI: oai:DiVA.org:uu-307465DiVA: diva2:1047337