STRONG CONVERGENCE ANALYSIS OF JUMP-ADAPTED BACKWARD EULER METHOD UNDER NON-GLOBALLY LIPSCHITZ CONDITION

Yang Xu, Zhao Weidong

Mathematica Numerica Sinica ›› 2022, Vol. 44 ›› Issue (2) : 163-177.

PDF(584 KB)
PDF(584 KB)
Mathematica Numerica Sinica ›› 2022, Vol. 44 ›› Issue (2) : 163-177. DOI: 10.12286/jssx.j2020-0757
Articles

STRONG CONVERGENCE ANALYSIS OF JUMP-ADAPTED BACKWARD EULER METHOD UNDER NON-GLOBALLY LIPSCHITZ CONDITION

  • Yang Xu1, Zhao Weidong2
Author information +
History +

Abstract

In this paper, we study the strong convergence of jump-adapted backward Euler method for jump-diffusion stochastic differential equations under non-globally Lipschitz condition. By overcoming the main difficulty in the convergence analysis caused by the non-globally Lipschitz coefficients of the the considered problem, we successfully establish the strong convergence result for the jump-adapted backward Euler method with explicit convergence rate identified. Numerical experiments are carried out to confirm our theoretical findings.

Key words

jump-adapted method / jump-diffusion problem / Poisson jumps / strong convergence rate / non-Lipschitz coefficient

Cite this article

Download Citations
Yang Xu, Zhao Weidong. STRONG CONVERGENCE ANALYSIS OF JUMP-ADAPTED BACKWARD EULER METHOD UNDER NON-GLOBALLY LIPSCHITZ CONDITION. Mathematica Numerica Sinica, 2022, 44(2): 163-177 https://doi.org/10.12286/jssx.j2020-0757

References

[1] Cont R, Tankov P. Financial Modelling with Jump Processes[M]. Chapman and Hall/CRC, Florida, 2004.
[2] Platen E, Bruti-Liberati N. Numerical solution of stochastic differential equations with jumps in finance[M]. vol. 64 of Stochastic Modelling and Applied Probability, Springer-Verlag, Berlin, 2010.
[3] Bruti-Liberati N, Platen E. Strong approximations of stochastic differential equations with jumps[J]. J Comput Appl Math., 2007, 205(2):982-1001.
[4] Chalmers G D, Higham D J. Asymptotic stability of a jump-diffusion equation and its numerical approximation[J]. SIAM J Sci Comput., 2008/09, 31(2):1141-1155.
[5] Gardón A. The order of approximations for solutions of Itô-type stochastic differential equations with jumps[J]. Stochastic Anal Appl., 2004, 22(3):679-699.
[6] Ren Q, Tian H. Compensated θ-Milstein methods for stochastic differential equations with Poisson jumps[J]. Appl Numer Math., 2020, 150:27-37.
[7] Wang X, Gan S. Compensated stochastic theta methods for stochastic differential equations with jumps[J]. Appl Numer Math., 2010, 60(9):877-887.
[8] Hu L, Gan S, Wang X. Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations. J Comput Appl Math., 2013, 238:126-143.
[9] Chen Z, Gan S, Wang X. Mean-square approximations of Lévy noise driven SDEs with superlinearly growing diffusion and jump coefficients[J]. Discrete Contin Dyn Syst Ser B., 2019, 24(8):4513-4545.
[10] Chen Z, Gan S. Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients[J]. J Comput Appl Math., 2020, 363:350-369.
[11] Chen Y, Xiao A, Wang W. Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions[J]. J Comput Appl Math., 2019, 360:41-54.
[12] Higham D J, Kloeden P E. Numerical methods for nonlinear stochastic differential equations with jumps[J]. Numer Math., 2005, 101(1):101-119.
[13] Higham D J, Kloeden P E. Convergence and stability of implicit methods for jump-diffusion systems[J]. Int J Numer Anal Model., 2006, 3(2):125-140.
[14] Higham D J, Kloeden P E. Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems[J]. J Comput Appl Math., 2007, 205(2):949-956.
[15] Kumar C, Sabanis S. On tamed Milstein schemes of SDEs driven by Lévy noise[J]. Discrete Contin Dyn Syst Ser B., 2017, 22(2):421-463.
[16] Kumar C, Sabanis S. On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients[J]. Electron J Probab., 2017, 22(73):19.
[17] Ma Q, Ding D, Ding X. Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps[J]. Appl Numer Math., 2014, 82:44-50.
[18] Mao W, You S, Mao X. On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps[J]. J Comput Appl Math., 2016, 301:1-15.
[19] Wu F, Mao X, Chen K. Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump[J]. Appl Math Comput., 2008, 206(1):494-505.
[20] Yang X, Zhao W. Strong convergence analysis of split-step θ-scheme for nonlinear stochastic differential equations with jumps[J]. Adv Appl Math Mech., 2016, 8(6):1004-1022.
[21] Neuenkirch A, Szpruch L. First order strong approximations of scalar SDEs defined in a domain[J]. Numer Math., 2014, 128(1):103-136.
[22] Wang X, Wu J, Dong B. Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition[J]. BIT., 2020, 60(3):759-790.
[23] Yang X, Wang X. A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models[J]. Numer Algorithms, 2017, 74(1):39-57.
[24] Higham DJ, Mao X, Stuart AM. Strong convergence of Euler-type methods for nonlinear stochastic differential equations[J]. SIAM J Numer Anal., 2002, 40(3):1041-1063.
[25] Deng S, Fei C, Fei W, Mao X. Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation[J]. Phys A., 2019, 533:122057, 18.
PDF(584 KB)

668

Accesses

0

Citation

Detail

Sections
Recommended

/