@Article{AAMM-8-1004,
author = {Yang , Xu and Zhao , Weidong},
title = {Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps},
journal = {Advances in Applied Mathematics and Mechanics},
year = {2018},
volume = {8},
number = {6},
pages = {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.
},
issn = {2075-1354},
doi = {https://doi.org/10.4208/aamm.2015.m1208},
url = {http://global-sci.org/intro/article_detail/aamm/12128.html}
}
TY - JOUR
T1 - Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
AU - Yang , Xu
AU - Zhao , Weidong
JO - Advances in Applied Mathematics and Mechanics
VL - 6
SP - 1004
EP - 1022
PY - 2018
DA - 2018/05
SN - 8
DO - http://doi.org/10.4208/aamm.2015.m1208
UR - https://global-sci.org/intro/article_detail/aamm/12128.html
KW - Split-step scheme, strong convergence, stochastic differential equation, jump-diffusion, one-side Lipschitz condition.
AB -
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.
Yang , Xu and Zhao , Weidong. (2018). Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps.
Advances in Applied Mathematics and Mechanics. 8 (6).
1004-1022.
doi:10.4208/aamm.2015.m1208
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