Mean-square Stability and Convergence of Compensated Split-Step $theta$-method for Nonlinear Jump Diffusion Systems
Publish Year: 1400
نوع سند: مقاله ژورنالی
زبان: English
View: 282
This Paper With 24 Page And PDF Format Ready To Download
- Certificate
- من نویسنده این مقاله هستم
استخراج به نرم افزارهای پژوهشی:
شناسه ملی سند علمی:
JR_JMMF-1-1_008
تاریخ نمایه سازی: 17 فروردین 1400
Abstract:
In this paper, we analyze the strong convergence and stability of the Compensated Splite-step $theta$ (CSS$theta$) and Forward-Backward Euler-Maruyama (FBEM) methods for Numerical solutions of Stochastic Differential Equations with jumps (SDEwJs),where $sqrt{2}-1leqthetaleq 1$. The drift term $f$ has a one-sided Lipschitz condition, the diffusion term $g$ and jump term $h$ satisfy global Lipschitz condition. Furthermore, we discuss about the stability of SDEwJs with constant coefficients and present new useful relations between their coefficients. Finally we examine the correctness and efficiency of theorems with some examples.In this paper, we analyze the strong convergence and stability of the Compensated Splite-step $theta$ (CSS$theta$) and Forward-Backward Euler-Maruyama (FBEM) methods for Numerical solutions of Stochastic Differential Equations with jumps (SDEwJs),where $sqrt{2}-1leqthetaleq 1$. The drift term $f$ has a one-sided Lipschitz condition, the diffusion term $g$ and jump term $h$ satisfy global Lipschitz condition. Furthermore, we discuss about the stability of SDEwJs with constant coefficients and present new useful relations between their coefficients. Finally we examine the correctness and efficiency of theorems with some examples.
Keywords:
nonlinear stochastic differential equations , Poisson jump , compensated split-step $theta$ method , one-sided Lipschitz condition , forward-backward Euler-Maruyama method , mean-square stability
Authors
Ali Soheili
Department of applied mathematics Ferdowsi university of Mashhad Mashhad, Iran
Yasser Taherinasab
Department of Applied Mathematics, Ferdowsi University of Mashhad, Mashhad, Iran
Mohammad Amini
Department of Statistics, Ferdowsi University of Mashhad, Mashhad,