Advances in Difference Equations | |
Convergence and stability of the compensated split-step θ -method for stochastic differential equations with jumps | |
Zhiming Mu1  Yongfeng Guo2  Jianguo Tan2  | |
[1] College of Basic Science, Tianjin Agricultural University, Tianjin, China;Department of Mathematics, Tianjin Polytechnic University, Tianjin, China | |
关键词: stochastic differential equations; Poisson jumps; compensated split-step θ-method; convergence; mean-square stability; | |
DOI : 10.1186/1687-1847-2014-209 | |
学科分类:数学(综合) | |
来源: SpringerOpen | |
【 摘 要 】
In this paper, we develop a new compensated split-step θ (CSSθ) method for stochastic differential equations with jumps (SDEwJs). First, it is proved that the proposed method is convergent with strong order 1/2 in the mean-square sense. Then the condition of the mean-square (MS) stability of the CSSθ method is obtained. Finally, some scalar test equations are simulated to verify the results obtained from theory, and a comparison between the compensated stochastic theta (CST) method by Wang and Gan (Appl. Numer. Math. 60:877-887, 2010) and CSSθ is analyzed. Meanwhile, the results show the higher efficiency of the CSSθ method.
【 授权许可】
CC BY
【 预 览 】
Files | Size | Format | View |
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RO201904026130145ZK.pdf | 450KB | download |