Numerical analysis for jump-diffusion stochastic differential equations
From MaRDI portal
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Recommendations
- Convergence of numerical solutions to stochastic delay differential equations with jumps
- EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION
- Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps
- The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
- Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions
Cited in
(15)- New representations of explicit one-step numerical methods for jump-diffusion stochastic differential equations
- Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
- The Euler scheme for Feller processes
- Numerical computation of Theta in a jump-diffusion model by integration by parts
- Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
- Exact solutions and doubly efficient approximations of jump-diffusion itô equations
- scientific article; zbMATH DE number 1054336 (Why is no real title available?)
- Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
- Robust numerical methods for contingent claims under jump diffusion processes
- Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness
- Numerical conservation issues for jump Pearson diffusions
- Numerical and mathematical analysis of blow-up problems for a stochastic differential equation
- Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps
- Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes
- Numerical solution of stochastic differential equations with jumps in finance
This page was built for publication: Numerical analysis for jump-diffusion stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3052231)
