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 $f$...
| Hlavní autoři: | , , |
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| Médium: | Článek |
| Jazyk: | English |
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Allameh Tabataba'i University Press
2021-03-01
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| Edice: | Mathematics and Modeling in Finance |
| Témata: | |
| On-line přístup: | https://jmmf.atu.ac.ir/article_11917_f89e9bb1ffceb464b28d20248011967c.pdf |
| Shrnutí: | 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 $f$ has a one-sided Lipschitz condition, the diffusion term $g$ and jump term $h$ satisfy global Lipschitz condition. Furthermore, we discuss about the stability of SDEwJs with constant coefficients and present new useful relations between their coefficients. Finally we examine the correctness and efficiency of theorems with some examples.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 $f$ has a one-sided Lipschitz condition, the diffusion term $g$ and jump term $h$ satisfy global Lipschitz condition. Furthermore, we discuss about the stability of SDEwJs with constant coefficients and present new useful relations between their coefficients. Finally we examine the correctness and efficiency of theorems with some examples. |
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| ISSN: | 2783-0578 2783-056X |