Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients

DOI10.1016/j.cam.2019.06.018zbMath1418.60097OpenAlexW2950838719WikidataQ110649191 ScholiaQ110649191MaRDI QIDQ2315938

Ziheng Chen, Si-qing Gan

Publication date: 26 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.2019.06.018

zbMATH Keywords

backward Euler methodmean square convergencemean square stabilityjump-diffusion SDEssuper-linearly growing coefficients

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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