Convergence and stability of the compensated split-step \(\theta\)-method for stochastic differential equations with jumps

DOI10.1186/1687-1847-2014-209zbMath1417.34137OpenAlexW2117356878WikidataQ59323440 ScholiaQ59323440MaRDI QIDQ1720270

Zhiming Mu, Jian-Guo Tan, Yong-Feng Guo

Publication date: 8 February 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/1687-1847-2014-209

zbMATH Keywords

convergencestochastic differential equationsmean-square stabilityPoisson jumpscompensated split-step \(\theta\)-method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Continuous stage stochastic Runge-Kutta methods ⋮ Structure-preserving stochastic Runge-Kutta-Nyström methods for nonlinear second-order stochastic differential equations with multiplicative noise ⋮ Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems ⋮ The inverse source problem of Cherenkov radiation model

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• Numerical methods for nonlinear stochastic differential equations with jumps
• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps

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