A Tail-Respecting Splitting Numerical Scheme for Lévy-Driven SDEs With Superlinear Drifts

Olga Aryasova, Oleksii Kulyk, Ilya Pavlyukevich

We present an explicit numerical approximation scheme, denoted by $\{X^n\}$, for the effective simulation of solutions $X$ to a multivariate stochastic differential equation (SDE)…