Mean-Square Convergence of Drift-Implicit One-Step Methods for Neutral Stochastic Delay Differential Equations with Jump Diffusion
A class of drift-implicit one-step schemes are proposed for the neutral stochastic delay differential equations (NSDDEs) driven by Poisson processes. A general framework for mean-square convergence of the methods is provided. It is shown that under certain conditions global error estimates for a met...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2011-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2011/917892 |
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| Summary: | A class of drift-implicit one-step schemes are proposed for the neutral stochastic delay differential equations (NSDDEs) driven by Poisson processes. A general framework for mean-square convergence of the methods is provided. It is shown that under certain conditions global error estimates for a method can be inferred from estimates on its local error. The applicability of the mean-square convergence theory is illustrated by the stochastic θ-methods and the balanced implicit methods. It is derived from Theorem 3.1 that the order of the mean-square convergence of both of them for NSDDEs with jumps is 1/2. Numerical experiments illustrate the theoretical results. It is worth noting that the results of mean-square convergence of the stochastic θ-methods and the balanced implicit methods are also new. |
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| ISSN: | 1026-0226 1607-887X |