Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process

DOI10.1007/S40065-012-0026-1zbMATH Open1255.60116OpenAlexW2091257515WikidataQ59289530 ScholiaQ59289530MaRDI QIDQ1925614FDOQ1925614

Authors: Xiaotai Wu, Litan Yan 

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

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zbMATH Keywords

order of convergenceEuler-Maruyama methoddoubly perturbed stochastic delay differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Introduction to the numerical analysis of stochastic delay differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Asymptotic Stability of Stochastic Differential Equations Driven by Lévy Noise
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Stability Analysis of Numerical Schemes for Stochastic Differential Equations
• Self-avoiding random walk: A Brownian motion model with local time drift
• The ``true self-avoiding walk with bond repulsion on \(\mathbb{Z}\): Limit theorems
• Title not available (Why is that?)
• Perturbed Brownian motions
• Perturbed Skorohod equations and perturbed reflected diffusion processes
• 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
• Weak limits of perturbed random walks and the equation \(Y_ t = B_ t+\alpha\sup\{Y_ s:s \leq t\} + \beta\inf\{Y_ s:s\leq t\}\)
• 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 \(\mathbb{Z}^ 1\)
• Large deviations for perturbed reflected diffusion processes

Cited In (1)

• Existence of a class of doubly perturbed stochastic functional differential equations with Poisson jumps

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