Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps. Issue 3 (4th March 2022)

• Record Type: Journal Article
• Authors: Ren, Quanwei
• Is Part Of: International journal of computer mathematics. Volume 99:Issue 3(2022)
• Page Start: 520
• Page End: 536
• Publication Date: 2022-03-04
• Subjects: Compensated two-step Maruyama methods -- Poisson jumps -- Adams method -- mean-square convergence -- mean-square stability; 65C30; Computers -- Periodicals; Numerical analysis -- Periodicals; Automation -- Periodicals; 004.0151
• DOI: 10.1080/00207160.2021.1923013
• Languages: English
• ISSNs: 0020-7160

Abstract

Abstract : In this article we present the compensated two-step Maruyama methods for the stochastic differential equations with Poisson jumps. Mean-square (M-S) order convergence 1 2 is established and M-S stability analysis are displayed. In particular, compensated two-step Maruyama methods of Adams type are considered, their linear M-S stability regions compared with compensated Euler–Maruyama method (EM) are plotted. Numerical results show the M-S convergence and stability are given.