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Title: Explicit numerical schemes of SDEs driven by Lévy noise with super-linear coeffcients and their application to delay equations
Author: Kumar, Chaman
Awarding Body: University of Edinburgh
Current Institution: University of Edinburgh
Date of Award: 2015
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We investigate an explicit tamed Euler scheme of stochastic differential equation with random coefficients driven by Lévy noise, which has super-linear drift coefficient. The strong convergence property of the tamed Euler scheme is proved when drift coefficient satisfies one-sided local Lipschitz condition whereas diffusion and jump coefficients satisfy local Lipschitz conditions. A rate of convergence for the tamed Euler scheme is recovered when local Lipschitz conditions are replaced by global Lipschitz conditions and drift satisfies polynomial Lipschitz condition. These findings are consistent with those of the classical Euler scheme. New methodologies are developed to overcome challenges arising due to the jumps and the randomness of the coefficients. Moreover, as an application of these findings, a tamed Euler scheme is proposed for the stochastic delay differential equation driven by Lévy noise with drift coefficient that grows super-linearly in both delay and non-delay variables. The strong convergence property of the tamed Euler scheme for such SDDE driven by Lévy noise is studied and rate of convergence is shown to be consistent with that of the classical Euler scheme. Finally, an explicit tamed Milstein scheme with rate of convergence arbitrarily close to one is developed to approximate the stochastic differential equation driven by Lévy noise (without random coefficients) that has super-linearly growing drift coefficient.
Supervisor: Sabanis, Sotirios ; Gyongy, Istvan Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: Lévy noise ; stochastic differential equation ; delayed equation ; tamed Euler scheme ; tamed Milstein scheme ; super-linear coefficients