Strong Convergence of Split-Step Forward Methods for Stochastic Differential Equations Driven by SS processes

Authors

  • Bahram Tarami Department of Statistics, College of Sciences, Shiraz University, Iran
  • Mohsen Avaji Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Tabriz, Iran.

Keywords:

Stochastic differential equation, Split step forward method,

Abstract

Abstract. We consider stochastic differential equation driven by -stable processes. Three methods of drifting split-step Euler, diffusedsplit-step Euler and three-stage Milstein for approximation of solutionare used. The strong convergence of these three methods is proven andthe upper bounds of their stabilities are obtained and depicted.

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Published

2021-04-28

Issue

Vol. 16

Section

Vol. 16, No. 3, (2022)

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