TY - JOUR
T1 - Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
AU - Yang , Xu
AU - Zhao , Weidong
JO - Advances in Applied Mathematics and Mechanics
VL - 6
SP - 1004
EP - 1022
PY - 2018
DA - 2018/05
SN - 8
DO - http://doi.org/10.4208/aamm.2015.m1208
UR - https://global-sci.org/intro/article_detail/aamm/12128.html
KW - Split-step scheme, strong convergence, stochastic differential equation, jump-diffusion, one-side Lipschitz condition.
AB - <p style="text-align: justify;">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.</p>