Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps

doi:10.1016/j.amc.2020.125760

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	Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
	Li, Min 1; Huang, Chengming 1,2; Chen, Ziheng 3
	2021-03-15
发表期刊	APPLIED MATHEMATICS AND COMPUTATION
ISSN	0096-3003
卷号	393 页码:11
摘要	In this paper, we present and analyze a compensated projected Euler-Maruyama method for stochastic differential equations with jumps. A mean square convergence result is derived under a coupled condition. This condition and some reasonable assumptions admit that the jump and diffusion coefficients can be superlinear. Moreover, since the Poisson increment has different moment properties from the Brownian increment, some new techniques are developed for convergence analysis. Finally, some numerical experiments are carried out to confirm the theoretical results. (C) 2020 Elsevier Inc. All rights reserved.
关键词	Stochastic differential equations with jumps Compensated projected Euler-Maruyama method Mean square convergence C-stability B-consistency
DOI	10.1016/j.amc.2020.125760
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[11771163] ; National Natural Science Foundation of China[12011530058]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000600775400014
出版者	ELSEVIER SCIENCE INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/57880
专题	中国科学院数学与系统科学研究院
通讯作者	Huang, Chengming
作者单位	1.Huazhong Univ Sci & Technol, Sch Math & Stat, Wuhan 430074, Peoples R China 2.Huazhong Univ Sci & Technol, Hubei Key Lab Engn Modeling & Sci Comp, Wuhan 430074, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Inst Computat Math, Sci Engn Comp, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Li, Min,Huang, Chengming,Chen, Ziheng. Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps[J]. APPLIED MATHEMATICS AND COMPUTATION,2021,393:11.
APA	Li, Min,Huang, Chengming,&Chen, Ziheng.(2021).Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps.APPLIED MATHEMATICS AND COMPUTATION,393,11.
MLA	Li, Min,et al."Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps".APPLIED MATHEMATICS AND COMPUTATION 393(2021):11.