Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps

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.

Author Details

Xu Yang

Weidong Zhao