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Article overview
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On Explicit Approximations for L'evy Driven SDEs with Super-linear Diffusion Coefficients | Chaman Kumar
; Sotirios Sabanis
; | Date: |
10 Nov 2016 | Abstract: | Motivated by the results of cite{sabanis2015}, we propose explicit
Euler-type schemes for SDEs with random coefficients driven by L’evy noise
when the drift and diffusion coefficients can grow super-linearly. As an
application of our results, one can construct explicit Euler-type schemes for
SDEs with delays (SDDEs) which are driven by L’evy noise and have super-linear
coefficients. Strong convergence results are established and their rate of
convergence is shown to be equal to that of the classical Euler scheme. It is
proved that the optimal rate of convergence is achieved for
$mathcal{L}^2$-convergence which is consistent with the corresponding results
available in the literature. | Source: | arXiv, 1611.3417 | Services: | Forum | Review | PDF | Favorites |
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