Compensated stochastic theta methods for stochastic differential equations with jumps (Q987597)
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scientific article; zbMATH DE number 5770451
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| English | Compensated stochastic theta methods for stochastic differential equations with jumps |
scientific article; zbMATH DE number 5770451 |
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Compensated stochastic theta methods for stochastic differential equations with jumps (English)
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13 August 2010
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Compensated stochastic theta methods (CSTM) for approximating the solutions of jumpdiffusion Ito stochastic differential equations of the form \[ dX(t)= f(X(t-))\,dt+ g(X(t-))\,dW(t)+ h(X(t-))\,dN(t),\;t> 0,\;X(0-)= X_0 \] are introduced. Mean-square convergence, A-stability, and exponential stability of CSTM methods are proved. Results of numerical experiments are presented that demonstrate a stability advantage of CSTM over stochastic theta methods.
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stochastic theta methods
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jump-diffusion
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compensated Poisson process
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strong convergence
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A-stability
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B-stability
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exponential mean-square stability
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0.912623405456543
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0.9090801477432252
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0.8841196298599243
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0.865288496017456
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