BEGIN:VCALENDAR
VERSION:2.0
PRODID:researchseminars.org
CALSCALE:GREGORIAN
X-WR-CALNAME:researchseminars.org
BEGIN:VEVENT
SUMMARY:Verena Schwarz (University of Klagenfurt)
DTSTART:20240318T121500Z
DTEND:20240318T130000Z
DTSTAMP:20260417T003020Z
UID:cam/21
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/cam/21/">Hig
 her-order approximation and optimality for jump-diffusion SDEs with discon
 tinuous drift</a>\nby Verena Schwarz (University of Klagenfurt) as part of
  CAM seminar\n\nLecture held in MV:L14.\n\nAbstract\nIn this talk we consi
 der the approximation of jump-diffusion stochastic differential equations 
 with discontinuous drift\, possibly degenerate diffusion coefficient\, and
  Lipschitz continuous jump coefficient. We present a jump-adapted higher-o
 rder scheme\, the so-called transformation-based jump-adapted quasi-Milste
 in scheme. For this scheme\, we provide a complete error analysis: We prov
 e convergence order $3/4$ in $L^p$ for $p\\in[1\,\\infty)$. Further\, we p
 rovide lower error bounds for non-adaptive and jump-adapted approximation 
 schemes of order $3/4$ in $L^1$. This yields optimality of the transformat
 ion-based jump-adapted quasi-Milstein scheme.\n\nThis is joint work with P
 awel Przybylowicz and Michaela Szölgyenyi.\n
LOCATION:https://researchseminars.org/talk/cam/21/
END:VEVENT
END:VCALENDAR