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Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
Published online by Cambridge University Press: 19 September 2016
Abstract
In this paper, we investigate the mean-square convergence of the split-step θ-scheme for nonlinear stochastic differential equations with jumps. Under some standard assumptions, we rigorously prove that the strong rate of convergence of the split-step θ-scheme in strong sense is one half. Some numerical experiments are carried out to assert our theoretical result.
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- Type
- Research Article
- Information
- Advances in Applied Mathematics and Mechanics , Volume 8 , Issue 6 , December 2016 , pp. 1004 - 1022
- Copyright
- Copyright © Global-Science Press 2016
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