2 citations · 3 across the 6 of their papers we have counts for
7 papers
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…
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…
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…
Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift
Paweł Przybyłowicz, Verena Schwarz, Michaela Szölgyenyi
In this note we prove sharp lower error bounds for numerical methods for jump-diffusion stochastic differential equations (SDEs) with discontinuous drift. We study the approximatio…
Randomized Milstein algorithm for approximation of solutions of jump-diffusion SDEs
Paweł Przybyłowicz, Verena Schwarz, Michaela Szölgyenyi
We investigate the error of the randomized Milstein algorithm for solving scalar jump-diffusion stochastic differential equations. We provide a complete error analysis under substa…
A higher order approximation method for jump-diffusion SDEs with discontinuous drift coefficient
Paweł Przybyłowicz, Verena Schwarz, Michaela Szölgyenyi
We present the first higher-order approximation scheme for solutions of jump-diffusion stochastic differential equations with discontinuous drift. For this transformation-based jum…
A Skorohod measurable universal functional representation of solutions to semimartingale SDEs
Paweł Przybyłowicz, Verena Schwarz, Alexander Steinicke +1
In this paper we show the existence of a universal Skorohod measurable functional representation for a large class of semimartingale-driven stochastic differential equations. For t…