Search arXiv⌕ Search
Home/Archive/arXiv

arXiv · math/0609186

Adaptive Weak Approximation of Diffusions with Jumps

E. Mordecki·A. Szepessy·R. Tempone·G. E. Zouraris
View original source ↗Read source document ↗Export metadata ↓

Abstract

This work develops Monte Carlo Euler adaptive time stepping methods for the weak approximation problem of jump diffusion driven stochastic differential equations. The main result is the derivation of a new expansion for the omputational error, with computable leading order term in a posteriori form, based on stochastic flows and discrete dual backward problems which extends the results in [STZ]. These expansions lead to efficient and accurate computation of error estimates. Adaptive algorithms for either stochastic time steps or quasi-deterministic time steps are described. Numerical examples show the performance of the proposed error approximation and of the described adaptive time-stepping methods.

Explore related subjects

math.NAcs.NAmath.PR

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

E. Mordecki, A. Szepessy, R. Tempone, G. E. Zouraris. 2006-09-06. Adaptive Weak Approximation of Diffusions with Jumps. https://arxiv.org/abs/math/0609186

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Fully spectral scheme for the linear BGK equation on the whole space

In this article, we design a fully spectral method in both space and velocity for a linear inhomogeneous kinetic equation with mass, momentum and energy conservation. We focus on the linear BGK equation with a confinement potential $Φ$, even if the method could be applied to different collision operators. It is based upon the projection on Hermite polynomials in velocity and orthonormal polynomials with respect to the weight $e^{-$Φ$}$ in space. The potential $Φ$ is assumed to be a polynomial. It is, to the author's knowledge, the first scheme which preserves hypocoercive behavior in addition to the conservation laws. These different properties are illustrated numerically on both quadratic and double well potential.

math.NA↗
arXiv2026

Inverse inequalities for kernel-based approximation on bounded domains and Riemannian manifolds

This paper establishes inverse inequalities for kernel-based approximation spaces defined on bounded Lipschitz domains in $\mathbb{R}^d$ and compact Riemannian manifolds. While inverse inequalities are well-studied for polynomial spaces, their extension to kernel-based trial spaces poses significant challenges. For bounded Lipschitz domains, we extend prior Bernstein inequalities, which only apply to a limited range of Sobolev orders, to the full range of lower and upper orders, and derive Nikolskii inequalities that bound $L_\infty$ norms by $L_2$ norms. For compact Riemannian manifolds, we focus on restricted kernels, which are defined as the restriction of positive definite kernels from the ambient Euclidean space to the manifold, and prove their counterparts.

math.NA↗
arXiv2026

Error Estimates for Hyperbolic Scaling Limits of Linear Kinetic Models on Networks

This paper studies linear discrete kinetic models on networks and their asymptotic behavior in the small Knudsen number limit. For coupling conditions at an n-edge junction under a symmetric formulation, we introduce a change of variables that reformulates the system into n independent initial-boundary value problems. The asymptotic expansions are then constructed and rigorously justified by deriving an error estimate based on the energy method.

math.NA↗