Compensated stochastic theta methods for stochastic differential equations with jumps (Q987597)

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Compensated stochastic theta methods for stochastic differential equations with jumps
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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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