Numerical methods for nonlinear stochastic differential equations with jumps

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DOI10.1007/s00211-005-0611-8zbMath1186.65010OpenAlexW2034692694MaRDI QIDQ2486675

Desmond J. Higham, Peter E. Kloeden

Publication date: 5 August 2005

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-005-0611-8

zbMATH Keywords

strong convergence exponential stability numerical examples A-stability nonlinear stability implicit method Poisson process stepsize control mean-square stability jump-diffusion global Lipschitz compensated Poisson process B-stability backward Euler one-sided Lipschitz Euler - Maruyama

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

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