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Fully implicit methods for solving stochastic jump-diffusion equations(PDF)


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Fully implicit methods for solving stochastic jump-diffusion equations
 DU Ying LIU Jinru
 School of Finance and Economics,Xi’an International Studies University,Xi’an 710128, China
stochastic differential equation with jumps implicit jump term compensated θ-Balanced method mean-square convergence
O 211.63
To improve the performance of numerical methods for solving stochastic differential equations with jumps, the implicit method for solving equations is developed into considering the implicitness in jump term, and a new class of fully implicit methods:The compensated θ-balanced numerical methods is prosed. Firstly,it is proved that the numerical method is consistent with order 1.5 in the mean and with order 1.0 in the mean square. Then, it is also proved that the proposed numerical solutions converge to the analytical solutions with rate of 0.5. Finally, some numerical experiments are given to evaluate the performance of the proposed numerical methods.


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Last Update: 2017-07-22