KMS Of Academy of mathematics and systems sciences, CAS
| Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps | |
| Li, Min1; Huang, Chengming1,2; Chen, Ziheng3 | |
| 2021-03-15 | |
| Source Publication | APPLIED MATHEMATICS AND COMPUTATION
 |
| ISSN | 0096-3003 |
| Volume | 393Pages:11 |
| Abstract | 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. |
| Keyword | Stochastic differential equations with jumps Compensated projected Euler-Maruyama method Mean square convergence C-stability B-consistency |
| DOI | 10.1016/j.amc.2020.125760 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[11771163] ; National Natural Science Foundation of China[12011530058] |
| WOS Research Area | Mathematics |
| WOS Subject | Mathematics, Applied |
| WOS ID | WOS:000600775400014 |
| Publisher | ELSEVIER SCIENCE INC |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/57880 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Huang, Chengming |
| Affiliation | 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 |
| Recommended Citation 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. |
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