The Truncated EM Method for Jump-Diffusion SDDEs with Super-Linearly Growing Diffusion and Jump Coefficients
Year: 2024
Author: Shounian Deng, Chen Fei, Weiyin Fei, Xuerong Mao
Journal of Computational Mathematics, Vol. 42 (2024), Iss. 1 : pp. 178–216
Abstract
This work is concerned with the convergence and stability of the truncated Euler-Maruyama (EM) method for super-linear stochastic differential delay equations (SDDEs) with time-variable delay and Poisson jumps. By constructing appropriate truncated functions to control the super-linear growth of the original coefficients, we present two types of the truncated EM method for such jump-diffusion SDDEs with time-variable delay, which is proposed to be approximated by the value taken at the nearest grid points on the left of the delayed argument. The first type is proved to have a strong convergence order which is arbitrarily close to 1/2 in mean-square sense, under the Khasminskii-type, global monotonicity with $U$ function and polynomial growth conditions. The second type is convergent in $q$-th $(q < 2)$ moment under the local Lipschitz plus generalized Khasminskii-type conditions. In addition, we show that the partially truncated EM method preserves the mean-square and $H_∞$ stabilities of the true solutions. Lastly, we carry out some numerical experiments to support the theoretical results.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/jcm.2204-m2021-0270
Journal of Computational Mathematics, Vol. 42 (2024), Iss. 1 : pp. 178–216
Published online: 2024-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 39
Keywords: SDDEs Truncated EM method Time-variable delay Poisson jumps.
Author Details
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Positivity-preserving truncated Euler–Maruyama method for generalised Ait-Sahalia-type interest model
Deng, Shounian
Fei, Chen
Fei, Weiyin
Mao, Xuerong
BIT Numerical Mathematics, Vol. 63 (2023), Iss. 4
https://doi.org/10.1007/s10543-023-01000-x [Citations: 2]