Numerical methods for nonlinear stochastic differential equations with jumps (Q2486675)
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scientific article; zbMATH DE number 2193419
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| English | Numerical methods for nonlinear stochastic differential equations with jumps |
scientific article; zbMATH DE number 2193419 |
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Numerical methods for nonlinear stochastic differential equations with jumps (English)
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5 August 2005
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A-stability
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B-stability
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backward Euler
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compensated Poisson process
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Euler - Maruyama
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exponential stability
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global Lipschitz
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implicit method
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jump-diffusion
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mean-square stability
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nonlinear stability
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one-sided Lipschitz
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Poisson process
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strong convergence
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stepsize control
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numerical examples
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0.8553471565246582
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0.8391085863113403
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0.8311107754707336
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0.8233165740966797
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