Numerical methods for nonlinear stochastic differential equations with jumps
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A-stabilityB-stabilitybackward Eulercompensated Poisson processEuler - Maruyamaexponential stabilityglobal Lipschitzimplicit methodjump-diffusionmean-square stabilitynonlinear stabilitynumerical examplesone-sided LipschitzPoisson processstepsize controlstrong convergence
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) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)
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Cites work
- Convergence and stability of implicit methods for jump-diffusion systems
- Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise.
- Exact solutions and doubly efficient approximations of jump-diffusion itô equations
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
- Financial Modelling with Jump Processes
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- Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
- Numerical methods for strong solutions of stochastic differential equations: an overview
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
Cited in
(only showing first 100 items - show all)- The split-step backward Euler method for linear stochastic delay differential equations
- Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
- Convergence of the split-step -method for stochastic age-dependent population equations with Poisson jumps
- On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
- A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes
- Taylor approximation of stochastic functional differential equations with the Poisson jump
- Almost sure exponential stability of numerical solutions for stochastic pantograph differential equations
- Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
- Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control
- Convergence and stability of the compensated split-step \(\theta\)-method for stochastic differential equations with jumps
- Implicit numerical solutions for solving stochastic differential equations with jumps
- Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with random jump magnitudes
- Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems
- Balanced model order reduction for linear random dynamical systems driven by Lévy noise
- Stochastic control of drill-heads driven by Lévy processes
- Optimal global approximation of jump-diffusion SDEs via path-independent step-size control
- Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
- Positivity and convergence of the balanced implicit method for the nonlinear jump-extended CIR model
- Mean-square dissipative methods for stochastic age-dependent capital system with fractional Brownian motion and jumps
- Stability of the drift-implicit and double-implicit Milstein schemes for nonlinear SDEs
- Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- Exponential mean-square stability properties of stochastic linear multistep methods
- The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps
- Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
- Exact simulation of the first passage time through a given level of jump diffusions
- The inverse source problem of Cherenkov radiation model
- Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh
- Optimal strong convergence rates of numerical methods for semilinear parabolic SPDE driven by Gaussian noise and Poisson random measure
- Nonlinear stability issues for stochastic Runge-Kutta methods
- Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
- Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
- Compensated -Milstein methods for stochastic differential equations with Poisson jumps
- Multilevel path simulation to jump-diffusion process with superlinear drift
- Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
- Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
- Finite element methods and their error analysis for SPDEs driven by Gaussian and non-Gaussian noises
- Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching
- Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- The truncated EM method for stochastic differential equations with Poisson jumps
- Stability analysis of two-sectors stochastic economic growth model
- Euler-Maruyama approximation for SDEs with jumps and non-Lipschitz coefficients
- Split-step \({\theta}\)-method for stochastic delay differential equations
- Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps
- B-convergence of split-step one-leg theta methods for stochastic differential equations
- Approximation of jump diffusions in finance and economics
- Mean-square contractivity of stochastic \(\vartheta\)-methods
- Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
- Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
- Numerical methods for nonlinear stochastic delay differential equations with jumps
- Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions
- Convergence of moments of tau leaping schemes for unbounded Markov processes on integer lattices
- On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations
- Convergence rate of EM scheme for SDDEs
- Compensated stochastic theta methods for stochastic differential delay equations with jumps
- Exponential mean-square stability of the -method for neutral stochastic delay differential equations with jumps
- Convergence and stability of the balanced methods for stochastic differential equations with jumps
- The improved split-step backward Euler method for stochastic differential delay equations
- Numerical solution of stochastic differential equations in finance
- Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process
- THE NUMERICAL STABILITY OF STOCHASTIC ORDINARY DIFFERENTIAL EQUATIONS WITH ADDITIVE NOISE
- Convergence and stability of impulsive stochastic differential equations
- Approximations for Solutions of Lévy-Type Stochastic Differential Equations
- Optimal global approximation of stochastic differential equations with additive Poisson noise
- First Order Strong Approximations of Jump Diffusions
- In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations
- Stability of analytical and numerical solutions of nonlinear stochastic delay differential equations
- Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
- A structural analysis of asymptotic mean-square stability for multi-dimensional linear stochastic differential systems
- Physically consistent simulation of mesoscale chemical kinetics: the non-negative FIS- method
- Exponential mean square stability of numerical methods for systems of stochastic differential equations
- Stability and Strong Convergence for Spatial Stochastic Kinetics
- Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
- Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
- Semi-discrete approximations for stochastic differential equations and applications
- Convergence rates of theta-method for NSDDEs under non-globally Lipschitz continuous coefficients
- The truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise
- A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
- Convergence and stability of the canonical EM splitting method for nonautonomous stiff stochastic differential equations
- Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
- Optimal sampling design for global approximation of jump diffusion stochastic differential equations
- Integrability and regularity of the flow of stochastic differential equations with jumps
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
- Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
- On tamed Milstein schemes of SDEs driven by Lévy noise
- Algebraic structures and stochastic differential equations driven by Lévy processes
- Stability analysis for stochastic Volterra-Levin equations with Poisson jumps: fixed point approach
- Strong convergence of the split-step -method for stochastic age-dependent population equations
- Numerical solution of fuzzy stochastic differential equation
- First and second moment reversion for a discretized square root process with jumps
- Jump systems with the mean-reverting -process and convergence of the numerical approximation
- The Wonham filter under uncertainty: A game-theoretic approach
- Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching
- On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
- Lower bound approximation of nonlinear basket option with jump-diffusion
- Numerical solutions of stochastic differential delay equations with jumps
- Deep ReLU neural networks overcome the curse of dimensionality for partial integrodifferential equations
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