Numerical methods for a class of jump-diffusion systems with random magnitudes

DOI10.1016/J.CNSNS.2010.09.029MaRDI QIDQ718596zbMATH OpenOpenAlexFDO

Authors Feng Jiang, Yi Shen, Lei Liu

Publication date 23 September 2011

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2010.09.029

zbMATH Keywords

stochastic differential delay equationssemi-implicit Euler methodrandom jump magnitude

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)

Recommendations

• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Numerical solutions of stochastic differential delay equations with jumps
• Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes
• Convergence analysis of semi-implicit Euler methods for solving stochastic age-dependent capital system with variable delays and random jump magnitudes
• Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes

Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A jump-diffusion model for option pricing
• Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes
• Convergence and stability of implicit methods for jump-diffusion systems
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching
• Financial Modelling with Jump Processes
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Option pricing when underlying stock returns are discontinuous
• Stochastic differential equations and applications.
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• The stochastic stability of interest rates with jump changes

Cited in

(8)

• Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Multiscale Integration Schemes for Jump-Diffusion Systems
• A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes
• Stochastic -methods for a class of jump-diffusion stochastic pantograph equations with random magnitude
• Convergence of numerical solutions for a class of stochastic age-dependent capital system with random jump magnitudes
• Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes
• A note on convergence analysis for implicit simulations of stochastic differential equations with random jump magnitudes

This page was built for publication: Numerical methods for a class of jump-diffusion systems with random magnitudes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q718596)