Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps (Q2662602)

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English	Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps	scientific article

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scholarly article

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title

Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps (English)

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DOI

10.1016/j.amc.2020.125760

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Applied Mathematics and Computation

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publication date

14 April 2021

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Mathematics Subject Classification ID

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stochastic differential equations with jumps

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compensated projected Euler-Maruyama method

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mean square convergence

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C-stability

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B-consistency

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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.amc.2020.125760

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Theory of stochastic differential equations with jumps and applications.

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Financial Modelling with Jump Processes

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Numerical methods for nonlinear stochastic differential equations with jumps

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

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Strong Convergence Analysis of Split-Step <i>θ</i>-Scheme for Nonlinear Stochastic Differential Equations with Jumps

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Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump

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Compensated stochastic theta methods for stochastic differential equations with jumps

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Q5479951

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Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps

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

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Convergence rate of numerical solutions to SFDEs with jumps

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On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps

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On Wiener-Poisson type multivalued stochastic differential equations with non-Lipschitz coefficients

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

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

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Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure

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Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition

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Mean-square approximations of Lévy noise driven SDEs with super-linearly growing diffusion and jump coefficients

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

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The truncated EM method for stochastic differential equations with Poisson jumps

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

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

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On tamed Milstein schemes of SDEs driven by Lévy noise

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Compensated $\theta$-Milstein methods for stochastic differential equations with Poisson jumps

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On $L_{p}$-Estimates of Some Singular Integrals Related to Jump Processes

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Mathematics(1 entry)

mardi Publication:2662602