Convergence and stability of implicit methods for jump-diffusion systems
From MaRDI portal
implicit Euler schemejump-diffusionsnumerical stabilitystochastic differential equationsstrong convergence
Lua error in Module:PublicationMSCList at line 28: attempt to call field 'getDbData' (a nil value).
Lua error in Module:PublicationShowAbstract at line 21: attempt to call field 'getDbData' (a nil value).
Recommendations
- Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes
- Implicit numerical solutions for solving stochastic differential equations with jumps
- scientific article; zbMATH DE number 6830743
- Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
- Convergence and stability of the balanced methods for stochastic differential equations with jumps
Cited in
(75)- Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
- A parallel time integrator for noisy nonlinear oscillatory systems
- On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
- A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes
- Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
- Convergence and stability of the compensated split-step \(\theta\)-method for stochastic differential equations with jumps
- Implicit numerical solutions for solving stochastic differential equations with jumps
- Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems
- Mean-square dissipative methods for stochastic age-dependent capital system with fractional Brownian motion and jumps
- Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- Positivity preserving stochastic \(\theta\)-methods for selected SDEs
- Exact simulation of the first passage time through a given level of jump diffusions
- Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps
- Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
- Compensated -Milstein methods for stochastic differential equations with Poisson jumps
- Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
- Exponential stability and numerical methods of stochastic recurrent neural networks with delays
- Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching
- Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- The truncated EM method for stochastic differential equations with Poisson jumps
- Euler-Maruyama approximation for SDEs with jumps and non-Lipschitz coefficients
- Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps
- Numerical methods for nonlinear stochastic differential equations with jumps
- Convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations with Markovian switching and variable delay
- Approximation of jump diffusions in finance and economics
- Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
- Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients
- Numerical methods for nonlinear stochastic delay differential equations with jumps
- On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
- scientific article; zbMATH DE number 6830743 (Why is no real title available?)
- Multiscale Integration Schemes for Jump-Diffusion Systems
- Optimal global approximation of stochastic differential equations with additive Poisson noise
- Existence, uniqueness, and stability of stochastic neutral functional differential equations of Sobolev-type
- Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
- Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
- Exponential mean square stability of numerical methods for systems of stochastic differential equations
- Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps
- Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
- Optimal sampling design for global approximation of jump diffusion stochastic differential equations
- Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
- \(p\)th moment exponential stability of stochastic partial differential equations with Poisson jumps
- On tamed Milstein schemes of SDEs driven by Lévy noise
- Algebraic structures and stochastic differential equations driven by Lévy processes
- Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps
- Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching
- Numerical solutions of stochastic differential delay equations with jumps
- On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps
- A long term analysis of stochastic theta methods for mean reverting linear process with jumps
- Numerical conservation issues for jump Pearson diffusions
- Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
- Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes
- Convergence rate of numerical solutions to SFDEs with jumps
- Runge-Kutta methods for jump-diffusion differential equations
- Strong convergence of a class of adaptive numerical methods for SDEs with jumps
- Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump
- Numerical methods for a class of jump-diffusion systems with random magnitudes
- Strong error analysis of jump-adapted split-step backward Euler method for nonlinear jump-diffusion problems
- Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
- A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis
- Asymptotic separation between solutions and fast -Euler-Maruyama scheme for singular stochastic Volterra integral equations with jumps
- Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift
- Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
- Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
- Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
- Strong approximations of stochastic differential equations with jumps
- Stochastic -methods for a class of jump-diffusion stochastic pantograph equations with random magnitude
- Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
- Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes
- Convergence of jump-diffusion non-linear differential equation with phase semi-Markovian switching
- Compensated stochastic theta methods for stochastic differential equations with jumps
- The semi-implicit Euler method for stochastic differential delay equation with jumps
This page was built for publication: Convergence and stability of implicit methods for jump-diffusion systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5479951)