Convergence of numerical solutions to stochastic delay differential equations with jumps

DOI10.1016/j.amc.2005.02.017zbMath1095.65006MaRDI QIDQ2369121

Rong-Hua Li, Hongbing Meng, Yonghong Dai

Publication date: 28 April 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.02.017

zbMATH Keywords

strong convergence; Itô's formula; Euler approximation; discrete time approximation; stochastic differential equations with time delay and jumps

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65L20: Stability and convergence of numerical methods for ordinary differential equations

34K50: Stochastic functional-differential equations

65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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