Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems (Q885946)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems |
scientific article |
Statements
Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems (English)
0 references
14 June 2007
0 references
The authors generalize the current theory of optimal strong convergence rates for implicit Euler-based methods by allowing for Poisson-driven jumps in a stochastic differential equation. The analysis in the paper exploits a relation between backward and explicit Euler methods.
0 references
implicit Euler-Maruyama methods
0 references
Ito lemma
0 references
one-sided Lipschitz condition
0 references
Poisson process
0 references
stochastic differential equation
0 references
convergence
0 references
0 references
0 references
0 references
