4 citations · 13 across the 6 of their papers we have counts for
6 papers
Strong convergence and temporal-spatial regularity for tamed Euler approximations of Lévy-driven SDEs
Yan Ding, Sizhou Wu, Ying Zhang
We study the temporal-spatial regularity properties of tamed Euler approximations for Lévy-driven SDEs with superlinearly growing drift and diffusion coefficients. We first introdu…
Multilevel Picard approximation algorithm for semilinear partial integro-differential equations and its complexity analysis
Ariel Neufeld, Sizhou Wu
In this paper we introduce a multilevel Picard approximation algorithm for semilinear parabolic partial integro-differential equations (PIDEs). We prove that the numerical approxim…
On Itô formulas for jump processes
István Gyöngy, Sizhou Wu
A well-known Itô formula for finite dimensional processes, given in terms of stochastic integrals with respect to Wiener processes and Poisson random measures, is revisited and is…
On -Solvability of Stochastic Integro-Differential Equations
István Gyöngy, Sizhou Wu
A class of (possibly) degenerate stochastic integro-differential equations of parabolic type is considered, which includes the Zakai equation in nonlinear filtering for jump diffus…
Itô's formula for jump processes in -spaces
István Gyöngy, Sizhou Wu
We present an Itô formula for the -norm of jump processes having stochastic differentials in -spaces. The main results extend well-known theorems of Krylov to the case of…
On solvability of integro-differential equations
Marta De León-Contreras, István Gyöngy, Sizhou Wu
A class of (possibly) degenerate integro-differential equations of parabolic type is considered, which includes the Kolmogorov equations for jump diffusions. Existence and uniquene…