On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

نویسندگان

  • Konstantinos Dareiotis
  • Chaman Kumar
  • Sotirios Sabanis
چکیده

We extend the taming techniques for explicit Euler approximations of stochastic differential equations (SDEs) driven by Lévy noise with super-linearly growing drift coefficients. Strong convergence results are presented for the case of locally Lipschitz coefficients. Moreover, rate of convergence results are obtained in agreement with classical literature when the local Lipschitz continuity assumptions are replaced by global and, in addition, the drift coefficients satisfy polynomial Lipschitz continuity. Finally, we further extend these techniques to the case of delay equations.

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عنوان ژورنال:
  • SIAM J. Numerical Analysis

دوره 54  شماره 

صفحات  -

تاریخ انتشار 2016