Stochastic Calculus with Jumps Processes : Theory and Numerical Techniques

Abstract: In this work we consider a stochastic differential equation (SDEs) with jump. We prove the existence and the uniqueness of solution of this equation in the strong sense under global Lipschitz condition. Generally, exact solutions of SDEs are unknowns. The challenge is to approach them numerically. There exist several numerical techniques. In this thesis, we present the compensated stochastic theta method (CSTM) which is already developed in the literature. We prove that under global Lipschitz condition, the CSTM converges strongly with standard order 0.5. We also investigated the stability behaviour of both CSTM and stochastic theta method (STM). Inspired by the tamed Euler scheme developed in [8], we propose a new scheme for SDEs with jumps called compensated tamed Euler scheme. We prove that under non-global Lipschitz condition the compensated tamed Euler scheme converges strongly with standard order 0.5. Inspired by [11], we propose the semi-tamed Euler for SDEs with jumps under non-global Lipschitz condition and prove its strong convergence of order 0.5. This latter result is helpful to prove the strong convergence of the tamed Euler scheme. We analyse the stability behaviours of both tamed and semi-tamed Euler scheme We present also some numerical experiments to illustrate our theoretical results.