Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
Year: 2016
Author: Xu Yang, Weidong Zhao
Advances in Applied Mathematics and Mechanics, Vol. 8 (2016), Iss. 6 : pp. 1004–1022
Abstract
In this paper, we investigate the mean-square convergence of the split-step θ-scheme for nonlinear stochastic differential equations with jumps. Under some standard assumptions, we rigorously prove that the strong rate of convergence of the split-step θ-scheme in strong sense is one half. Some numerical experiments are carried out to assert our theoretical result.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/aamm.2015.m1208
Advances in Applied Mathematics and Mechanics, Vol. 8 (2016), Iss. 6 : pp. 1004–1022
Published online: 2016-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 19
Keywords: Split-step scheme strong convergence stochastic differential equation jump-diffusion one-side Lipschitz condition.