Numerical methods for mean-field stochastic differential equations with jumps
Numerical Analysis
2020-01-15 v1 Numerical Analysis
Abstract
In this paper, we are devoted to the numerical methods for mean-field stochastic differential equations with jumps (MSDEJs). First by using the mean-field It\^o formula [Sun, Yang and Zhao, Numer. Math. Theor. Meth. Appl., 10 (2017), pp.~798--828], we develop the It\^o formula and construct the It\^o-Taylor expansion for MSDEJs. Then based on the It\^o-Taylor expansion, we propose the strong order and the weak order It\^o-Taylor schemes for MSDEJs. %We theoretically prove The strong and weak convergence rates and of the strong and weak It\^o-Taylor schemes are theoretically proved, respectively. Finally some numerical tests are also presented to verify our theoretical conclusions.
Cite
@article{arxiv.2001.04783,
title = {Numerical methods for mean-field stochastic differential equations with jumps},
author = {Yabing Sun and Weidong Zhao},
journal= {arXiv preprint arXiv:2001.04783},
year = {2020}
}