Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems (Q885946): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems |
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Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems (English)
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14 June 2007
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The authors generalize the current theory of optimal strong convergence rates for implicit Euler-based methods by allowing for Poisson-driven jumps in a stochastic differential equation. The analysis in the paper exploits a relation between backward and explicit Euler methods.
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implicit Euler-Maruyama methods
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Ito lemma
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one-sided Lipschitz condition
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Poisson process
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stochastic differential equation
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convergence
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