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arXiv · 2504.11988

Strong Convergence Rates for Euler Schemes of Levy-Driven SDE using Dynamic Cutting

Denis Platonov·Victoria Knopova
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Abstract

We derive strong Lp convergence rates for the Euler-Maruyama schemes of Levy-driven SDE using a new dynamic cutting (DC) method with a time-dependent jump threshold. In addition, we present results from numerical simulations comparing the DC and Asmussen-Rosinski (AR) approaches. These simulations demonstrate the superior accuracy achieved by the DC method.

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Denis Platonov, Victoria Knopova. 2025-04-16. Strong Convergence Rates for Euler Schemes of Levy-Driven SDE using Dynamic Cutting. https://arxiv.org/abs/2504.11988

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