Compound Poisson Approximation for Stochastic Volterra Equations with Singular Kernels (2510.27323v1)

Abstract: This paper establishes the strong convergence of solutions to stochastic differential equations (SDEs) and Volterra-type SDEs when approximated by compound Poisson processes. An explicit rate of convergence is derived. A key advantage of the compound Poisson approach over the classical Euler-Maruyama method is that it does not require the drift coefficient to be continuous in the time variable and can even accommodate singularities. Numerical experiments demonstrate the stability of our approach.