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Mean-square stability and convergence of compensated split-step θ-method for nonlinear jump diffusion systems | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 1، شماره 1، خرداد 2021، صفحه 83-101 اصل مقاله (510.78 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2020.54500.1011 | ||
| نویسندگان | ||
| Ali R. Soheili* 1؛ Yasser Taherinasab2؛ Mohammad Amini3 | ||
| 1Department of applied mathematics Ferdowsi university of Mashhad Mashhad, Iran | ||
| 2Department of Applied Mathematics, Ferdowsi University of Mashhad, Mashhad, Iran | ||
| 3Department of Statistics, Ferdowsi University of Mashhad, Mashhad, | ||
| چکیده | ||
| In this paper, the existence and uniqueness of the numerical solution of the Stochastic Differential Equations with Jumps(SDEwJs) under the one side Lipschitz conditions and polynomial growth conditions are presented. The Compensated split step θ(CSSθ) method introduce and try to bound the moment of the numerical solutions also we analyse the strong convergence on the compact domain. We discuss the stability of SDEwJs with constant coefficient and prove some new relation between their coefficient. Finally, we present three examples to investigate the theories and methods. | ||
| کلیدواژهها | ||
| nonlinear stochastic differential equations؛ Poisson jump؛ compensated split-step $theta$ method؛ one-sided Lipschitz condition؛ forward-backward Euler-Maruyama method؛ mean-square stability | ||
| مراجع | ||
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