Compensated stochastic theta methods for stochastic differential equations with jumps

DOI10.1016/j.apnum.2010.04.012zbMath1198.65034MaRDI QIDQ987597

Xiao-Jie Wang, Si-qing Gan

Publication date: 13 August 2010

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2010.04.012

zbMATH Keywords

strong convergence; A-stability; jump-diffusion; compensated Poisson process; B-stability; stochastic theta methods; exponential mean-square stability

Mathematics Subject Classification ID

65C30: Numerical solutions to stochastic differential and integral equations

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Uses Software

• RODAS

Cites Work

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• Numerical methods for strong solutions of stochastic differential equations: an overview
• Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations