The truncated Euler–Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise (Q5031226): Difference between revisions

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scientific article; zbMATH DE number 7476570

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English	The truncated Euler–Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise	scientific article; zbMATH DE number 7476570

Statements

instance of

scholarly article

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title

The truncated Euler–Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise (English)

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author

Wei Zhang

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published in

International Journal of Computer Mathematics

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publication date

18 February 2022

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zbMATH Keywords

stochastic differential equation

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truncated Euler-Maruyama method

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local Lipschitz condition

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Khasminskii-type condition

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convergence rate

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/00207160.2020.1748187

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cites work

Strong approximations of stochastic differential equations with jumps

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

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Numerical methods for nonlinear stochastic differential equations with jumps

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

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

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The approximate Euler method for Lévy driven stochastic differential equations

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An $L_p$-theory of a class of stochastic equations with the random fractional Laplacian driven by Lévy processes

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On tamed Milstein schemes of SDEs driven by Lévy noise

0 references

Almost sure exponential stability of numerical solutions to stochastic delay Hopfield neural networks

0 references

Mean square stability of two classes of theta method for neutral stochastic differential delay equations

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Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments

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Q4338975

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The truncated Euler-Maruyama method for stochastic differential equations

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

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On $L_{p}$-Estimates of Some Singular Integrals Related to Jump Processes

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The Euler-Maruyama approximation of solutions to stochastic differential equations with piecewise constant arguments

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Numerical Solution of Stochastic Differential Equations with Jumps in Finance

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The Euler scheme for Lévy driven stochastic differential equations

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Applied stochastic control of jump diffusions.

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

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

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Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations

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Asymptotic stability in the $p$th moment for stochastic differential equations with Lévy noise

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Razumikhin-type theorem for stochastic functional differential equations with Lévy noise and Markov switching

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Stability analysis of stochastic delay differential equations with Lévy noise

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Identifiers

zbMATH Open document ID

1480.65024

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DOI

10.1080/00207160.2020.1748187

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5031226

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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207160.2020.1748187
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@@ Property / OpenAlex ID @@
+W3013982737
@@ Property / OpenAlex ID: W3013982737 / rank @@
+Normal rank
@@ Property / cites work @@
+Strong approximations of stochastic differential equations with jumps
+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 @@
+Numerical methods for nonlinear stochastic differential equations with jumps
+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 @@
+The approximate Euler method for Lévy driven stochastic differential equations
+Normal rank
@@ Property / cites work @@
+An \(L_p\)-theory of a class of stochastic equations with the random fractional Laplacian driven by Lévy processes
+Normal rank
@@ Property / cites work @@
+On tamed Milstein schemes of SDEs driven by Lévy noise
+Normal rank
@@ Property / cites work @@
+Almost sure exponential stability of numerical solutions to stochastic delay Hopfield neural networks
+Normal rank
@@ Property / cites work @@
+Mean square stability of two classes of theta method for neutral stochastic differential delay equations
+Normal rank
@@ Property / cites work @@
+Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
+Normal rank
@@ Property / cites work @@
+Q4338975
@@ Property / cites work: Q4338975 / rank @@
+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 @@
+On $L_{p}$-Estimates of Some Singular Integrals Related to Jump Processes
+Normal rank
@@ Property / cites work @@
+The Euler-Maruyama approximation of solutions to stochastic differential equations with piecewise constant arguments
+Normal rank
@@ Property / cites work @@
+Numerical Solution of Stochastic Differential Equations with Jumps in Finance
+Normal rank
@@ Property / cites work @@
+The Euler scheme for Lévy driven stochastic differential equations
+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 @@
+Euler approximations with varying coefficients: the case of superlinearly growing diffusion 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 @@
+Strong convergence of the partially truncated Euler-Maruyama method for a class of stochastic differential delay equations
+Normal rank
@@ Property / cites work @@
+Asymptotic stability in the \(p\)th moment for stochastic differential equations with Lévy noise
+Normal rank
@@ Property / cites work @@
+Razumikhin-type theorem for stochastic functional differential equations with Lévy noise and Markov switching
+Normal rank
@@ Property / cites work @@
+Stability analysis of stochastic delay differential equations with Lévy noise
+Normal rank