Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps
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backward Euler methodcompensated numerical methodsmean-square dissipativitynon-compensated numerical methodsstochastic differential equations with jumps
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)
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Cites work
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- Dissipativity of one-leg methods for dynamical systems with delays
- Dissipativity of one-leg methods for neutral delay integro-differential equations
- Dissipativity of Runge-Kutta methods for dynamical systems with delays
- Exact and discretized dissipativity of the pantograph equation
- Financial Modelling with Jump Processes
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- Numerical methods for nonlinear stochastic differential equations with jumps
- The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
Cited in
(17)- Analysis of a stochastic Lotka-Volterra competitive model with infinite delay and impulsive perturbations
- On a stochastic Lotka-Volterra competitive system with distributed delay and general Lévy jumps
- Mean-square dissipative methods for stochastic age-dependent capital system with fractional Brownian motion and jumps
- Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
- Numerical analysis of the balanced implicit method for stochastic age-dependent capital system with Poisson jumps
- Compensated -Milstein methods for stochastic differential equations with Poisson jumps
- Asymptotic mean-square boundedness of the numerical solutions of stochastic age-dependent population equations with Poisson jumps
- Mean-square contractivity of stochastic \(\vartheta\)-methods
- Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
- On moment-dissipative stochastic dynamical systems
- scientific article; zbMATH DE number 6672578 (Why is no real title available?)
- Mean-square dissipativity of two numerical methods for stochastic age-dependent population equations with jumps
- Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps
- Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
- Dynamics and simulations of a stochastic predator-prey model with infinite delay and impulsive perturbations
- Strong error analysis of jump-adapted split-step backward Euler method for nonlinear jump-diffusion problems
- A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis
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