A New Simplified Weak Second-Order Scheme for Solving Stochastic Differential Equations with Jumps
نویسندگان
چکیده
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, theoretically prove that has convergence rate. To demonstrate effectiveness rate, three experiments are given.
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ژورنال
عنوان ژورنال: Mathematics
سال: 2021
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math9030224