Compensated stochastic theta methods for stochastic differential equations with jumps

DOI10.1016/J.APNUM.2010.04.012zbMATH Open1198.65034OpenAlexW2089539503MaRDI QIDQ987597FDOQ987597

Authors: Xiaojie Wang, Siqing Gan 

Publication date: 13 August 2010

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2010.04.012

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zbMATH Keywords

strong convergencejump-diffusioncompensated Poisson processB-stabilityA-stabilitystochastic theta methodsexponential mean-square stability

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Higher-order implicit strong numerical schemes for stochastic differential equations
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical methods for strong solutions of stochastic differential equations: an overview
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Convergence and stability of implicit methods for jump-diffusion systems
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• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
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• Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation

Cited In (31)

• Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
• Mean-square dissipative methods for stochastic age-dependent capital system with fractional Brownian motion and jumps
• Convergence and stability of the compensated split-step \(\theta\)-method for stochastic differential equations with jumps
• On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
• Exponential mean square stability of numerical methods for systems of stochastic differential equations
• Stochastic Theta Method for a Reflected Stochastic Differential Equation
• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
• Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
• Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems
• Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
• Modified stochastic theta methods by ODEs solvers for stochastic differential equations
• Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process
• Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
• The truncated EM method for stochastic differential equations with Poisson jumps
• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
• Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Numerical methods for nonlinear stochastic differential equations with jumps
• Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
• Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps
• B-convergence of split-step one-leg theta methods for stochastic differential equations
• A long term analysis of stochastic theta methods for mean reverting linear process with jumps
• Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps
• Numerical computation of Theta in a jump-diffusion model by integration by parts
• Compensated stochastic theta methods for stochastic differential delay equations with jumps
• Construction of positivity preserving numerical method for jump-diffusion option pricing models
• Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
• Compensated \(\theta\)-Milstein methods for stochastic differential equations with Poisson jumps
• Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise
• The improved split-step backward Euler method for stochastic differential delay equations
• On convergence of splitting-up algorithm for stochastic partial differential equations with jump

Uses Software

• RODAS

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