Minimal asymptotic errors for L_2-global approximation of SDEs with additive Poisson noise
- Speaker(s)
- Paweł Przybyłowicz
- Affiliation
- AGH Kraków
- Date
- May 28, 2015, 10 a.m.
- Room
- room 5840
- Seminar
- Seminar of Numerical Analysis Group
We study minimal asymptotic errors for strong global approximation of
stochastic differential equations driven by the homogeneous Poisson
process N with unknown intensity $\lambda$> 0. We consider two cases
of sampling of N: equidistant and nonequidistant. In both cases, we show
that the minimal error tends to zero like $C n^{−1/2}$, where C is the
average in time of the jump coefficient and n is the number of
evaluations of N. However, the asymptotic constant C when the
equidistant sampling is used can be considerably larger than the
asymptotic constant in the nonuniform sampling case. We also provide a
construction of methods that asymptotically achieve the established
minimal errors.