Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients (Q2315938)

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English	Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients	scientific article

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instance of

scholarly article

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title

Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients (English)

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zbMATH Open document ID

1418.60097

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DOI

10.1016/j.cam.2019.06.018

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Journal of Computational and Applied Mathematics

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publication date

26 July 2019

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Mathematics Subject Classification ID

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jump-diffusion SDEs

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super-linearly growing coefficients

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backward Euler method

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mean square convergence

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mean square stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2019.06.018

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Financial Modelling with Jump Processes

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Q4351952

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Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps

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The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps

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The approximate Euler method for Lévy driven stochastic differential equations

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Numerical methods for nonlinear stochastic differential equations with jumps

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Q5479951

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Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

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Strong approximations of stochastic differential equations with jumps

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Jump-adapted discretization schemes for Lévy-driven SDEs

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Numerical solution of stochastic differential equations with jumps in finance

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Compensated stochastic theta methods for stochastic differential equations with jumps

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Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients

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On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

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On tamed Milstein schemes of SDEs driven by Lévy noise

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On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients

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A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models

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Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients

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The tamed Milstein method for commutative stochastic differential equations with non-globally Lipschitz continuous coefficients

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Order-preserving strong schemes for SDEs with locally Lipschitz coefficients

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The truncated Euler-Maruyama method for stochastic differential equations

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Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations

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Euler approximations with varying coefficients: the case of superlinearly growing diffusion coefficients

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Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

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Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

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Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

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Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes

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Stochastic C-stability and B-consistency of explicit and implicit Milstein-type schemes

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Exponential integrability properties of numerical approximation processes for nonlinear stochastic differential equations

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$V$-integrability, asymptotic stability and comparison property of explicit numerical schemes for non-linear SDEs

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Balanced Implicit Methods for Stiff Stochastic Systems

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Numerical methods for strong solutions of stochastic differential equations: an overview

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On stochastic equations with respect to semimartingales I.<sup>†</sup>

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Q4236291

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Q5429735

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Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations

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Exponential mean square stability of numerical methods for systems of stochastic differential equations

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Choice of ${\theta}$ and mean-square exponential stability in the stochastic theta method of stochastic differential equations

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A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise

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Lévy Processes and Stochastic Calculus

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mardi Publication:2315938