Advanced Search

Query:

Fill in the form and click »Search«...

Format:

Display: entries per page entries

Zbl 1198.65034
Wang, Xiaojie; Gan, Siqing
Compensated stochastic theta methods for stochastic differential equations with jumps. (English)
[J] Appl. Numer. Math. 60, No. 9, 877-887 (2010). ISSN 0168-9274

Compensated stochastic theta methods (CSTM) for approximating the solutions of jumpdiffusion Ito stochastic differential equations of the form $$dX(t)= f(X(t-))\,dt+ g(X(t-))\,dW(t)+ h(X(t-))\,dN(t),\ t> 0,\ X(0-)= X_0$$ are introduced. Mean-square convergence, A-stability, and exponential stability of CSTM methods are proved. Results of numerical experiments are presented that demonstrate a stability advantage of CSTM over stochastic theta methods.
[Melvin D. Lax (Long Beach)]

MSC 2000:: *65C30 Stochastic differential and integral equations

Keywords: stochastic theta methods; jump-diffusion; compensated Poisson process; strong convergence; A-stability; B-stability; exponential mean-square stability

Comment on this Item PDF MathML XML ASCII DVI PS BibTeX Online Ordering Article Journal

	Scientific prize winners of the ICM 2010
	Overhang
	Lie groups, physics and geometry. An introduction for physicists, engineers and chemists.

Advanced Search

Zentralblatt MATH Berlin [Germany]