Mean-square Stability and Convergence of Compensated Split-Step $theta$-method for Nonlinear Jump Diffusion Systems
In this paper, we analyze the strong convergence and stability of the Compensated Splite-step $theta$ (CSS$theta$) and Forward-Backward Euler-Maruyama (FBEM) methods for Numerical solutions of Stochastic Differential Equations with jumps (SDEwJs),where $sqrt{2}-1leqthetaleq 1$. The drift term $f$...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Allameh Tabataba'i University Press
2021-03-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_11917_f89e9bb1ffceb464b28d20248011967c.pdf |