3 papers
math.PR2025
Approximation of the Lévy-driven stochastic heat equation on the sphere
Annika Lang, Andrea Papini, Verena Schwarz
The stochastic heat equation on the sphere driven by an additive square-integra\-ble Lévy process is approximated by a spectral method in space and forward and backward Euler--Maru…
math.NA2025
Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift
Verena Schwarz
We present an adaptive approximation scheme for jump-diffusion SDEs with discontinuous drift and (possibly) degenerate diffusion. This transformation-based doubly-adaptive quasi-Mi…
math.PR2024
Milstein-type schemes for McKean-Vlasov SDEs driven by Brownian motion and Poisson random measure (with super-linear coefficients)
Sani Biswas, Chaman Kumar, Christoph Reisinger +1
In this work, we present a general Milstein-type scheme for McKean-Vlasov stochastic differential equations (SDEs) driven by Brownian motion and Poisson random measure and the asso…