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

DOI10.4208/aamm.2015.m1208zbMath1488.65016OpenAlexW2522019820MaRDI QIDQ5153697

Weidong Zhao, Xu Yang

Publication date: 30 September 2021

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/aamm.2015.m1208

zbMATH Keywords

stochastic differential equationstrong convergencejump-diffusionsplit-step schemeone-side Lipschitz condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps ⋮ Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps ⋮ Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps ⋮ A long term analysis of stochastic theta methods for mean reverting linear process with jumps ⋮ Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems ⋮ Efficient Stochastic Runge-Kutta Methods for Stochastic Differential Equations with Small Noises ⋮ Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions

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