Strong Convergence Rates for Euler Schemes of Levy-Driven SDE using Dynamic Cutting
Probability
2025-04-17 v1 Numerical Analysis
Numerical Analysis
Abstract
We derive strong Lp convergence rates for the Euler-Maruyama schemes of Levy-driven SDE using a new dynamic cutting (DC) method with a time-dependent jump threshold. In addition, we present results from numerical simulations comparing the DC and Asmussen-Rosinski (AR) approaches. These simulations demonstrate the superior accuracy achieved by the DC method.
Cite
@article{arxiv.2504.11988,
title = {Strong Convergence Rates for Euler Schemes of Levy-Driven SDE using Dynamic Cutting},
author = {Denis Platonov and Victoria Knopova},
journal= {arXiv preprint arXiv:2504.11988},
year = {2025}
}