Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure

DOI10.1016/J.AMC.2009.02.041MaRDI QIDQ1026318zbMATH OpenOpenAlexFDO

Authors Mao Wei

Publication date 24 June 2009

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2009.02.041

zbMATH Keywords

compensated Poisson random measureconvergencedelay differential equationsPoisson processsemi-implicit Euler methodstrong convergenceWiener process

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) 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)

Review text

The author considers delay differential equations driven by Wiener and Poisson processes. He proposes a semi-implicit Euler method and proves its convergence in the mean-square sense.

Cites work

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Cited in

(10)

• A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes
• Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
• Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
• Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients
• The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps
• Approximate solutions of hybrid stochastic pantograph equations with Levy jumps
• Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions
• Discrete time waveform relaxation method for stochastic delay differential equations
• Convergence and stability of exponential Euler method for linear stochastic differential equations with variable delay
• Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump

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