EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION
Publication:5258040
DOI10.12941/jksiam.2014.18.043zbMath1317.65028OpenAlexW2134817917MaRDI QIDQ5258040
Publication date: 25 June 2015
Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.12941/jksiam.2014.18.043
convergencestochastic differential equationsnonlinearitycompensated Poisson processjump diffusionEuler-Maruyama method
Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)