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

Min Li, Chengming Huang and Ziheng Chen

Applied Mathematics and Computation, 2021, vol. 393, issue C

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.

Keywords: Stochastic differential equations with jumps; Compensated projected Euler-Maruyama method; Mean square convergence; C-stability; B-consistency (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:393:y:2021:i:c:s009630032030713x

DOI: 10.1016/j.amc.2020.125760

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