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arxiv: 1012.5806 · v1 · pith:5RHUXGC3new · submitted 2010-12-28 · 🧮 math.PR

High order weak approximation schemes for L\'evy-driven SDEs

classification 🧮 math.PR
keywords momentsschemesapproximationconstructconvergencehighmatchingnumber
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We propose new jump-adapted weak approximation schemes for stochastic differential equations driven by pure-jump L\'evy processes. The idea is to replace the driving L\'evy process $Z$ with a finite intensity process which has the same L\'evy measure outside a neighborhood of zero and matches a given number of moments of $Z$. By matching 3 moments we construct a scheme which works for all L\'evy measures and is superior to the existing approaches both in terms of convergence rates and easiness of implementation. In the case of L\'evy processes with stable-like behavior of small jumps, we construct schemes with arbitrarily high rates of convergence by matching a sufficiently large number of moments.

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