Optimal sampling design for global approximation of jump diffusion stochastic differential equations

Optimal global approximation of jump-diffusion SDEs via path-independent step-size control

(2018) Andrzej Kałuża et al.   APPLIED NUMERICAL MATHEMATICS

Optimal Approximation of Stochastic integrals with Respect to a Homogeneous Poisson Process

(2016) Jacek Dębowski et al.   Mediterranean Journal of Mathematics

Optimal global approximation of stochastic differential equations with additive Poisson noise

(2016) Paweł Przybyłowicz   NUMERICAL ALGORITHMS

Optimal global approximation of SDEs with time-irregular coefficients in asymptotic setting

(2015) Paweł Przybyłowicz   APPLIED MATHEMATICS AND COMPUTATION

Minimal asymptotic error for one-point approximation of SDEs with time-irregular coefficients

(2015) Paweł Przybyłowicz   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Strong approximation of solutions of stochastic differential equations with time-irregular coefficients via randomized Euler algorithm

(2014) Paweł Przybyłowicz et al.   APPLIED NUMERICAL MATHEMATICS

A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations

(2011) Steffen Dereich et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS