Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure (Q1690897): Difference between revisions

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English	Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure	scientific article

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instance of

scholarly article

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title

Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure (English)

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zbMATH Open document ID

1386.65043

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DOI

10.1186/1687-1847-2012-214

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Advances in Difference Equations

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publication date

12 January 2018

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Mathematics Subject Classification ID

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stochastic differential equations

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Poisson random measure

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convergence

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exponential mean-square stability

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describes a project that uses

RODAS

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1186/1687-1847-2012-214

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0 references

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Financial Modelling with Jump Processes

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Option pricing when underlying stock returns are discontinuous

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Q3962270

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On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance

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Strong approximations of stochastic differential equations with jumps

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Approximation of jump diffusions in finance and economics

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Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure

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Runge-Kutta methods for jump-diffusion differential equations

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Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps

0 references

Adaptive Weak Approximation of Diffusions with Jumps

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Almost sure stability of linear stochastic differential equations with jumps

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Q2771533

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Numerical methods for nonlinear stochastic differential equations with jumps

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Q3992729

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Applied stochastic control of jump diffusions.

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Stochastic Differential Equations with Markovian Switching

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Q4714145

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Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation

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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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Sitelinks

Mathematics(1 entry)

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@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Q3962270
@@ Property / cites work: Q3962270 / rank @@
+Normal rank
@@ Property / cites work @@
+On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance
+Normal rank
@@ Property / cites work @@
+Strong approximations of stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Approximation of jump diffusions in finance and economics
+Normal rank
@@ Property / cites work @@
+Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
+Normal rank
@@ Property / cites work @@
+Runge-Kutta methods for jump-diffusion differential equations
+Normal rank
@@ Property / cites work @@
+Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
+Normal rank
@@ Property / cites work @@
+Adaptive Weak Approximation of Diffusions with Jumps
+Normal rank
@@ Property / cites work @@
+Almost sure stability of linear stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Q2771533
@@ Property / cites work: Q2771533 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical methods for nonlinear stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Equations with Markovian Switching
+Normal rank
@@ Property / cites work @@
+Q4714145
@@ Property / cites work: Q4714145 / rank @@
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
+Normal rank
@@ Property / cites work @@
+An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
+Normal rank