2 papers
math.NA2024
Strong convergence of a class of adaptive numerical methods for SDEs with jumps
Cónall Kelly, Gabriel Lord, Fandi Sun
We develop adaptive time-stepping strategies for Itô-type stochastic differential equations (SDEs) with jump perturbations. Our approach builds on adaptive strategies for SDEs. Ada…
math.NA2019
Strong convergence of an adaptive time-stepping Milstein method for SDEs with monotone coefficients
Cónall Kelly, Gabriel Lord, Fandi Sun
We introduce an explicit adaptive Milstein method for stochastic differential equations (SDEs) with no commutativity condition. The drift and diffusion are separately locally Lipsc…