L p $L^{p }$ ( p > 2 $p>2$ )-strong convergence of multiscale integration scheme for jump-diffusion systems
نویسندگان
چکیده
منابع مشابه
Multiscale Integration Schemes for Jump-Diffusion Systems
We study a two-time-scale system of jump-diffusion stochastic differential equations. We analyze a class of multiscale integration methods for these systems, which, in the spirit of [1], consist of a hybridization between a standard solver for the slow components and short runs for the fast dynamics, which are used to estimate the effect that the fast components have on the slow ones. We obtain...
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ژورنال
عنوان ژورنال: Advances in Difference Equations
سال: 2019
ISSN: 1687-1847
DOI: 10.1186/s13662-019-1956-0