Convergence of numerical solutions to stochastic delay differential equations with jumps
DOI10.1016/j.amc.2005.02.017zbMath1095.65006MaRDI QIDQ2369121
Rong-Hua Li, Hongbing Meng, Yonghong Dai
Publication date: 28 April 2006
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2005.02.017
strong convergence; Itô's formula; Euler approximation; discrete time approximation; stochastic differential equations with time delay and jumps
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65L20: Stability and convergence of numerical methods for ordinary differential equations
34K50: Stochastic functional-differential equations
65L06: Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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