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strong convergence of split-step forward methods for stochastic differential equations driven by sαs processes
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نویسنده
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avaji mohsen ,tarami bahram
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منبع
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journal of mathematical extension - 2022 - دوره : 16 - شماره : 3 - صفحه:1 -13
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چکیده
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We consider stochastic differential equation driven by αstable processes. three methods of drifting split-step euler, diffused split-step euler and three-stage milstein for approximation of solution are used. the strong convergence of these three methods is proven and the upper bounds of their stabilities are obtained and depicted.
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کلیدواژه
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stochastic differential equation; split step forward method ,α−stable process; strong convergence; absolute-value stability.
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آدرس
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university of tabriz, faculty of mathematical sciences, department of applied mathematics, iran, shiraz university, college of science, department of statistics,, iran
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پست الکترونیکی
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tarami@shirazu.ac.ir
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Authors
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