Compensated projected Euler method for stochastic differential equations with jumps under global monotonicity condition

Min Li; Chengming Huang

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arXiv · 1812.02531

Compensated projected Euler method for stochastic differential equations with jumps under global monotonicity condition

Min Li·Chengming Huang

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Abstract

This paper presents and analyzes the compensated projected Euler-Maruyama method for stochastic differential equations with jumps under a global monotonicity condition. Compared with existing conditions, this condition allows the jump-diffusion coefficient to be growth superlinearly. Moreover, the method is proved to be convergent with strongly order $\frac{1}{2}$ on the discrete time level. Finally, some numerical experiments are carried out to confirm the theoretical results.

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Min Li, Chengming Huang. 2018-12-06. Compensated projected Euler method for stochastic differential equations with jumps under global monotonicity condition. https://arxiv.org/abs/1812.02531

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