Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
DOI10.1016/J.AMC.2018.04.002zbMATH Open1429.65024OpenAlexW2892344267MaRDI QIDQ2007649FDOQ2007649
Publication date: 22 November 2019
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2018.04.002
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strong convergencelocal Lipschitz conditionglobal Lipschitz conditioncompensated split-step theta methodsmonotone conditions
Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- A Jump-Diffusion Model for Option Pricing
- An algorithmic introduction to numerical simulation of stochastic differential equations
- Numerical methods for nonlinear stochastic differential equations with jumps
- Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
- Exponential mean square stability of numerical methods for systems of stochastic differential equations
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Convergence and stability of implicit methods for jump-diffusion systems
- Existence of global solutions and invariant measures for stochastic differential equations driven by Poisson type noise with non-Lipschitz coefficients
- Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
- Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
- Title not available (Why is that?)
- Compensated stochastic theta methods for stochastic differential equations with jumps
- Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
- Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
- Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
- Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps
Cited In (3)
- Strong convergence of the split-step backward Euler method for stochastic delay differential equations with a nonlinear diffusion coefficient
- Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
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