Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump

DOI10.1016/j.cnsns.2010.04.032zbMath1221.60084OpenAlexW1987458110MaRDI QIDQ718383

Lei Liu, Yi Shen, Feng Jiang

Publication date: 23 September 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.04.032

zbMATH Keywords

strong convergenceTaylor approximationPoisson jumpstochastic differential delay equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for functional-differential equations (65L03)

Related Items (14)

Numerical methods for nonlinear stochastic delay differential equations with jumps ⋮ Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments ⋮ Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise ⋮ A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes ⋮ Poisson stable solutions and solution maps for stochastic functional differential equations ⋮ A note on order of convergence of numerical method for neutral stochastic functional differential equations ⋮ Approximations of numerical method for neutral stochastic functional differential equations with Markovian switching ⋮ Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching ⋮ pTH Moment Exponential Stability of Stochastic Partial Differential Equations with Poisson Jumps ⋮ Stochastic optimal time-delay control of quasi-integrable Hamiltonian systems ⋮ Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump ⋮ Taylor approximation of the solution of age-dependent stochastic delay population equations with Ornstein-Uhlenbeck process and Poisson jumps ⋮ Approximate solutions of hybrid stochastic pantograph equations with Levy jumps ⋮ Compensated stochastic theta methods for stochastic differential delay equations with jumps

Cites Work

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• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Weak discrete time approximation of stochastic differential equations with time delay
• An analytic approximation of solutions of stochastic differential equations
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• Numerical methods for nonlinear stochastic differential equations with jumps
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations

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