| Autor: |
Przybyłowicz, Paweł, Schwarz, Verena, Szölgyenyi, Michaela |
| Rok vydání: |
2023 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
In this note we prove sharp lower error bounds for numerical methods for jump-diffusion stochastic differential equations (SDEs) with discontinuous drift. We study the approximation of jump-diffusion SDEs with non-adaptive as well as jump-adapted approximation schemes and provide lower error bounds of order $3/4$ for both classes of approximation schemes. This yields optimality of the transformation-based jump-adapted quasi-Milstein scheme. |
| Databáze: |
arXiv |
| Externí odkaz: |
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