Mathematics (Jan 2021)

A New Simplified Weak Second-Order Scheme for Solving Stochastic Differential Equations with Jumps

  • Yang Li,
  • Yaolei Wang,
  • Taitao Feng,
  • Yifei Xin

DOI
https://doi.org/10.3390/math9030224
Journal volume & issue
Vol. 9, no. 3
p. 224

Abstract

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In this paper, we propose a new weak second-order numerical scheme for solving stochastic differential equations with jumps. By using trapezoidal rule and the integration-by-parts formula of Malliavin calculus, we theoretically prove that the numerical scheme has second-order convergence rate. To demonstrate the effectiveness and the second-order convergence rate, three numerical experiments are given.

Keywords