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math.NA2026
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…
math.NA2022★ 4 cited
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…