Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure

DOI10.1186/1687-1847-2012-214zbMATH Open1386.65043OpenAlexW2105586431WikidataQ59291156 ScholiaQ59291156MaRDI QIDQ1690897FDOQ1690897

Authors: Minghui Song, H. Yu 

Publication date: 12 January 2018

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/1687-1847-2012-214

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zbMATH Keywords

convergencestochastic differential equationsPoisson random measureexponential mean-square stability

Mathematics Subject Classification ID

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)

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• Approximation of jump diffusions in finance and economics
• Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
• On weak predictor-corrector schemes for jump-diffusion processes in finance
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
• Runge-Kutta methods for jump-diffusion differential equations

Cited In (4)

• Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients
• Convergence and stability of implicit methods for jump-diffusion systems
• Numerical methods for simulation of stochastic differential equations
• Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps

Uses Software

• RODAS

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