High-order numerical schemes for jump-SDEs

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:354

Article

Grigo, Alexander¹ 

[1] Univ Oklahoma, Dept Math, Norman, OK 72019 USA

关键词: Discretization scheme;    Jump process;    Strong order of convergence;   

DOI  :  10.1016/j.cam.2018.12.018

来源: Elsevier

【 摘 要 】

In this paper we propose an algorithm to numerically simulate Markov processes of jump type. While these processes can naturally be generated as solutions to jump-SDEs the algorithm we propose is instead based on the interlacing construction of the process. We show that one can construct in the sense of strong convergence a high order numerical scheme based on high order ODE solvers. This result is in sharp contrast to the well known difficulty of constructing high-order numerical schemes for diffusion processes. Published by Elsevier B.V.

【 授权许可】

Free