Implicit Numerical Solutions for Solving Stochastic Differential Equations with Jumps
Joint Authors
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-07-23
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
To realize the applications of stochastic differential equations with jumps, much attention has recently been paid to the construction of efficient numerical solutions of the equations.
Considering the fact that the use of the explicit methods often results in instability and inaccurate approximations in solving stochastic differential equations, we propose two implicit methods, the θ-Taylor method and the balanced θ-Taylor method, for numerically solving the stochastic differential equation with jumps and prove that the numerical solutions are convergent with strong order 1.0.
For a linear scalar test equation, the mean-square stability regions of the methods are derived.
Finally, numerical examples are given to evaluate the performance of the methods.
American Psychological Association (APA)
Du, Ying& Mei, Chang-Lin. 2014. Implicit Numerical Solutions for Solving Stochastic Differential Equations with Jumps. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1013377
Modern Language Association (MLA)
Du, Ying& Mei, Chang-Lin. Implicit Numerical Solutions for Solving Stochastic Differential Equations with Jumps. Abstract and Applied Analysis No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-1013377
American Medical Association (AMA)
Du, Ying& Mei, Chang-Lin. Implicit Numerical Solutions for Solving Stochastic Differential Equations with Jumps. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1013377
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013377