Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process
From MaRDI portal
Publication:1925614
DOI10.1007/s40065-012-0026-1zbMath1255.60116WikidataQ59289530 ScholiaQ59289530MaRDI QIDQ1925614
Publication date: 18 December 2012
Published in: Arabian Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40065-012-0026-1
order of convergence; Euler-Maruyama method; doubly perturbed stochastic delay differential equations
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
Cites Work
- Unnamed Item
- Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)
- Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching
- Compensated stochastic theta methods for stochastic differential equations with jumps
- Self-avoiding random walk: A Brownian motion model with local time drift
- Perturbed Brownian motions
- Perturbed Skorohod equations and perturbed reflected diffusion processes
- Introduction to the numerical analysis of stochastic delay differential equations
- Numerical solutions of stochastic differential delay equations under local Lipschitz condition
- The ``true self-avoiding walk with bond repulsion on \(\mathbb{Z}\): Limit theorems
- Upper and lower limits of doubly perturbed Brownian motion
- Doubly perturbed jump-diffusion processes
- Generalized Ray-Knight theory and limit theorems for self-interacting random walks on \(\mathbb{Z}^ 1\)
- Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise
- Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
- Large deviations for perturbed reflected diffusion processes
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations