2 citations · 3 across the 6 of their papers we have counts for
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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…