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We present the first higher-order approximation scheme for solutions of jump-diffusion stochastic differential equations with discontinuous drift. For this transformation-based jump-adapted quasi-Milstein scheme we prove Lp-convergence order 3/4. To obtain this result, we prove that under slightly stronger assumptions (but still weaker than anything known before) a related jump-adapted quasi-Milstein scheme has convergence order 3/4 – in a special case even order 1. Order 3/4 is conjectured to be optimal.
Przybyłowicz et al. (Fri,) studied this question.