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

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

•The project EM method is extended to SDEs with superlinear jumps.•A convergence result is derived by using ideas of C-stability and B-consistency, so that moment-bounded proof of the numerical solution can be avoided.•Since the Poisson increment N(t)−N(s) has all moments of order O(t−s)for all 0≤s≤...

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Veröffentlicht in:Applied mathematics and computation 2021-03, Vol.393, p.125760, Article 125760
Hauptverfasser: Li, Min, Huang, Chengming, Chen, Ziheng
Format: Artikel
Sprache:eng
Schlagworte:
B-consistency
C-stability
Compensated projected Euler-Maruyama method
Mean square convergence
Stochastic differential equations with jumps
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Zusammenfassung:•The project EM method is extended to SDEs with superlinear jumps.•A convergence result is derived by using ideas of C-stability and B-consistency, so that moment-bounded proof of the numerical solution can be avoided.•Since the Poisson increment N(t)−N(s) has all moments of order O(t−s)for all 0≤s≤t
ISSN:0096-3003
1873-5649
DOI:10.1016/j.amc.2020.125760