Comments on ``Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

DOI10.1016/J.CAM.2019.03.038MaRDI QIDQ2312669zbMATH OpenOpenAlexFDO

Authors Azadeh Ghasemifard, Mohammad Taghi Jahandideh, Mahdieh Tahmasebi

Publication date 17 July 2019

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2019.03.038

zbMATH Keywords

Burkholder-Davis-Gundy inequalityEuler-Maruyama methodone-sided Lipschitz conditionstrong convergence

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

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• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
• Strong convergence analysis of jump-adapted backward Euler method under non-globally Lipschitz condition

Cites work

• scientific article; zbMATH DE number 1001278 (Why is no real title available?)
• scientific article; zbMATH DE number 3727272 (Why is no real title available?)
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

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• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

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