A Compensated Numerical Method for Solving Stochastic Differential Equations with Variable Delays and Random Jump Magnitudes
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-07-28
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
Stochastic differential equations with jumps are of a wide application area especially in mathematical finance.
In general, it is hard to obtain their analytical solutions and the construction of some numerical solutions with good performance is therefore an important task in practice.
In this study, a compensated split-step θ method is proposed to numerically solve the stochastic differential equations with variable delays and random jump magnitudes.
It is proved that the numerical solutions converge to the analytical solutions in mean-square with the approximate rate of 1/2.
Furthermore, the mean-square stability of the exact solutions and the numerical solutions are investigated via a linear test equation and the results show that the proposed numerical method shares both the mean-square stability and the so-called A-stability.
American Psychological Association (APA)
Du, Ying& Mei, Chang-Lin. 2015. A Compensated Numerical Method for Solving Stochastic Differential Equations with Variable Delays and Random Jump Magnitudes. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-11.
https://search.emarefa.net/detail/BIM-1074779
Modern Language Association (MLA)
Du, Ying& Mei, Chang-Lin. A Compensated Numerical Method for Solving Stochastic Differential Equations with Variable Delays and Random Jump Magnitudes. Mathematical Problems in Engineering No. 2015 (2015), pp.1-11.
https://search.emarefa.net/detail/BIM-1074779
American Medical Association (AMA)
Du, Ying& Mei, Chang-Lin. A Compensated Numerical Method for Solving Stochastic Differential Equations with Variable Delays and Random Jump Magnitudes. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-11.
https://search.emarefa.net/detail/BIM-1074779
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1074779