Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems
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Publication:1726218
DOI10.1186/s13662-017-1247-6zbMath1444.65004OpenAlexW2734129096WikidataQ59525011 ScholiaQ59525011MaRDI QIDQ1726218
Publication date: 19 February 2019
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-017-1247-6
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (4)
Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps ⋮ Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments ⋮ Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps ⋮ A long term analysis of stochastic theta methods for mean reverting linear process with jumps
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