Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition

DOI10.1016/J.AMC.2018.04.002MaRDI QIDQ2007649zbMATHOpenAlexFDO

Authors Chao Yue

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

zbMATH Keywords

strong convergencelocal Lipschitz conditionglobal Lipschitz conditioncompensated split-step theta methodsmonotone conditions

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 1016795 (Why is no real title available?)
• A jump-diffusion model for option pricing
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Compensated stochastic theta methods for stochastic differential equations with jumps
• 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 numerical methods for systems of stochastic differential equations
• Exponential mean square stability of the theta approximations for neutral stochastic differential delay equations
• Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps
• Numerical methods for nonlinear stochastic differential equations with jumps
• Preserving exponential mean square stability and decay rates in two classes of theta approximations of stochastic differential equations
• Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• Strong convergence of split-step theta methods for non-autonomous stochastic differential equations
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

Cited in

(6)

• 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
• Convergence and stability of split-step-theta methods for stochastic differential equations with jumps under non-global Lipschitz drift coefficient
• Convergence and stability of the compensated split-step \(\theta\)-method for stochastic differential equations with jumps
• Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
• Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems

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