Convergence of the compensated split-step θ-method for nonlinear jump-diffusion systems
Abstract In this paper, our aim is to develop a compensated split-step θ (CSSθ) method for nonlinear jump-diffusion systems. First, we prove the convergence of the proposed method under a one-sided Lipschitz condition on the drift coefficient, and global Lipschitz condition on the diffusion and jump...
Spremljeno u:
| Glavni autori: | , |
|---|---|
| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
SpringerOpen
2017-06-01
|
| Serija: | Advances in Difference Equations |
| Teme: | |
| Online pristup: | http://link.springer.com/article/10.1186/s13662-017-1247-6 |
| Oznake: |
Bez oznaka, Budi prvi tko označuje ovaj zapis!
|