Fractal Fract, Vol. 7, Pages 861: Convergence Rate of the Diffused Split-Step Truncated Euler–Maruyama Method for Stochastic Pantograph Models with Lévy Leaps

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Fractal Fract, Vol. 7, Pages 861: Convergence Rate of the Diffused Split-Step Truncated Euler–Maruyama Method for Stochastic Pantograph Models with Lévy Leaps

Fractal and Fractional doi: 10.3390/fractalfract7120861

Authors: Amr Abou-Senna Ghada AlNemer Yongchun Zhou Boping Tian

This paper studies the stochastic pantograph model, which is considered a subcategory of stochastic delay differential equations. A more general jump process, which is called the Lévy process, is added to the model for better performance and modeling situations, having sudden changes and extreme events such as market crashes in finance. By utilizing the truncation technique, we propose the diffused split-step truncated Euler–Maruyama method, which is considered as an explicit scheme, and apply it to the addressed model. By applying the Khasminskii-type condition, the convergence rate of the proposed scheme is attained in Lp(p≥2) sense where the non-jump coefficients grow super-linearly while the jump coefficient acts linearly. Also, the rate of convergence of the proposed scheme in Lp(0<p<2) sense is addressed where all the three coefficients grow beyond linearly. Finally, theoretical findings are manifested via some numerical examples.

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