The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients (Q6191883)

scientific article; zbMATH DE number 7803027

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English	The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients	scientific article; zbMATH DE number 7803027

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instance of

scholarly article

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title

The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients (English)

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Journal of Computational Mathematics

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publication date

12 February 2024

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full work available at URL

https://strathprints.strath.ac.uk/80128/1/Deng_etal_JCM_2022_The_truncated_EM_method_for_jump_diffusion.pdf

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zbMATH Keywords

SDDEs

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truncated EM method

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time-variable delay

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Poisson jumps

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MaRDI profile type

MaRDI publication profile

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cites work

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Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps

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The truncated Euler-Maruyama method for stochastic differential delay equations

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An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations

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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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Q4004325

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Weak Second Order Explicit Exponential Runge--Kutta Methods for Stochastic Differential Equations

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Stability Analysis of the Split-Step Theta Method for Nonlinear Regime-Switching Jump Systems

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Projected Euler-Maruyama method for stochastic delay differential equations under a global monotonicity condition

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The truncated Euler-Maruyama method for stochastic differential equations

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Almost sure exponential stability of solutions to highly nonlinear neutral stochastic differential equations with time-dependent delay and the Euler-Maruyama approximation

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Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps

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Identifiers

DOI

10.4208/jcm.2204-m2021-0270

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6191883