Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients (Q2315938): Difference between revisions

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English	Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients	scientific article

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scholarly article

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title

Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients (English)

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Journal of Computational and Applied Mathematics

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publication date

26 July 2019

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zbMATH Keywords

jump-diffusion SDEs

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super-linearly growing coefficients

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backward Euler method

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mean square convergence

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mean square stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2019.06.018

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cites work

Financial Modelling with Jump Processes

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Q4351952

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Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps

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The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps

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The approximate Euler method for Lévy driven stochastic differential equations

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Numerical methods for nonlinear stochastic differential equations with jumps

0 references

Q5479951

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Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

0 references

Strong approximations of stochastic differential equations with jumps

0 references

Jump-adapted discretization schemes for Lévy-driven SDEs

0 references

Numerical solution of stochastic differential equations with jumps in finance

0 references

Compensated stochastic theta methods for stochastic differential equations with jumps

0 references

Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients

0 references

On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

0 references

On tamed Milstein schemes of SDEs driven by Lévy noise

0 references

On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients

0 references

A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models

0 references

Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

0 references

Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

0 references

The truncated Euler-Maruyama method for stochastic differential equations

0 references

Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

0 references

Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients

0 references

Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

0 references

Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition

0 references

Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

0 references

Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

0 references

Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications

0 references

Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes

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Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

0 references

Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations

0 references

$V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs

0 references

Balanced Implicit Methods for Stiff Stochastic Systems

0 references

Numerical methods for strong solutions of stochastic differential equations: an overview

0 references

On stochastic equations with respect to semimartingales I.<sup>†</sup>

0 references

Q4236291

0 references

Q5429735

0 references

Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

0 references

Exponential mean square stability of numerical methods for systems of stochastic differential equations

0 references

Choice of ${\theta}$ and mean-square exponential stability in the stochastic theta method of stochastic differential equations

0 references

A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

0 references

Lévy Processes and Stochastic Calculus

0 references

Identifiers

zbMATH Open document ID

1418.60097

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DOI

10.1016/j.cam.2019.06.018

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2315938

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@@ Property / Wikidata QID: Q110649191 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4351952
@@ Property / cites work: Q4351952 / rank @@
+Normal rank
@@ Property / cites work @@
+Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
+Normal rank
@@ Property / cites work @@
+The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
+Normal rank
@@ Property / cites work @@
+The approximate Euler method for Lévy driven stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Numerical methods for nonlinear stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Q5479951
@@ Property / cites work: Q5479951 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
+Normal rank
@@ Property / cites work @@
+Strong approximations of stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Jump-adapted discretization schemes for Lévy-driven SDEs
+Normal rank
@@ Property / cites work @@
+Numerical solution of stochastic differential equations with jumps in finance
+Normal rank
@@ Property / cites work @@
+Compensated stochastic theta methods for stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations
+Normal rank
@@ Property / cites work @@
+On tamed Milstein schemes of SDEs driven by Lévy noise
+Normal rank
@@ Property / cites work @@
+On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients
+Normal rank
@@ Property / cites work @@
+A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
+Normal rank
@@ Property / cites work @@
+Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+Order-preserving strong schemes for SDEs with locally Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+The truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition
+Normal rank
@@ Property / cites work @@
+Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
+Normal rank
@@ Property / cites work @@
+Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
+Normal rank
@@ Property / cites work @@
+A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications
+Normal rank
@@ Property / cites work @@
+Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes
+Normal rank
@@ Property / cites work @@
+Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes
+Normal rank
@@ Property / cites work @@
+Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations
+Normal rank
@@ Property / cites work @@
+$V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs
+Normal rank
@@ Property / cites work @@
+Balanced Implicit Methods for Stiff Stochastic Systems
+Normal rank
@@ Property / cites work @@
+Numerical methods for strong solutions of stochastic differential equations: an overview
+Normal rank
@@ Property / cites work @@
+On stochastic equations with respect to semimartingales I.<sup>†</sup>
+Normal rank
@@ Property / cites work @@
+Q4236291
@@ Property / cites work: Q4236291 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5429735
@@ Property / cites work: Q5429735 / rank @@
+Normal rank
@@ Property / cites work @@
+Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Exponential mean square stability of numerical methods for systems of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
+Normal rank
@@ Property / cites work @@
+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
+Normal rank