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

Bahram Tarami, Mohsen Avaji

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.

Keywords


Stochastic differential equation; Split step forward method,

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