Convergence rate of numerical solutions to SFDEs with jumps

DOI10.1016/J.CAM.2011.05.043zbMATH Open1236.65005arXiv0906.3455OpenAlexW2046393253MaRDI QIDQ645694FDOQ645694

Authors: Jianhai Bao, Björn Böttcher, Xuerong Mao, Chenggui Yuan 

Publication date: 10 November 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: In this paper, we are interested in the numerical solutions of stochastic functional differential equations (SFDEs) with {it jumps}. Under the global Lipschitz condition, we show that the $p$th moment convergence of the Euler-Maruyama (EM) numerical solutions to SFDEs with jumps has order $1/p$ for any $pge2$. This is significantly different from the case of SFDEs without jumps where the order is 1/2 for any $pge2$. It is therefore best to use the mean-square convergence for SFDEs with jumps. Consequently, under the local Lipschitz condition, we reveal that the order of the mean-square convergence is close to 1/2, provided that the local Lipschitz constants, valid on balls of radius $j$, do not grow faster than $logj$.

Full work available at URL: https://arxiv.org/abs/0906.3455

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zbMATH Keywords

convergenceBrownian motionPoisson processlocal Lipschitz conditionEuler-Maruyama methodstochastic functional differential equation

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)

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Cited In (27)

• Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
• Complete backward Euler numerical scheme for general SFDEs with exponential stability under the polynomial growth condition
• Convergence rate of EM scheme for SDDEs
• Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations
• The Euler-Maruyama method for S(F)DEs with Hölder drift and \(\alpha\)-stable noise
• Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
• Strong convergence of Euler approximations of stochastic differential equations with delay under local Lipschitz condition
• Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
• Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
• Convergence rate of numerical solutions for nonlinear stochastic pantograph equations with Markovian switching and jumps
• Almost sure convergence rate of \(\theta\)-EM scheme for neutral SDDEs
• Mean-square convergence and stability of compensated stochastic theta methods for jump-diffusion SDEs with super-linearly growing coefficients
• Stabilisation of highly nonlinear hybrid stochastic differential delay equations by delay feedback control
• Convergence rate of Euler-Maruyama scheme for SDDEs of neutral type
• The truncated EM method for stochastic differential equations with Poisson jumps
• The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps
• Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
• A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients
• The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations
• A Markovian switching diffusion for an SIS model incorporating Lévy processes
• Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation
• A note on almost sure asymptotic stability of neutral stochastic delay differential equations with Markovian switching
• Order preservation for multidimensional stochastic functional differential equations with jumps
• Numerical analysis for stochastic partial differential delay equations with jumps
• Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process
• Global stability and positive recurrence of a stochastic SIS model with Lévy noise perturbation

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