Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps

DOI10.1016/j.amc.2020.125760OpenAlexW3105613362WikidataQ115361168 ScholiaQ115361168MaRDI QIDQ2662602

Min Li, Ziheng Chen, Cheng-Ming Huang

Publication date: 14 April 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2020.125760

zbMATH Keywords

mean square convergencestochastic differential equations with jumpsC-stabilityB-consistencycompensated projected Euler-Maruyama method

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps ⋮ Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps ⋮ Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients ⋮ Mean-square convergence and stability of compensated stochastic theta methods for jump-diffusion SDEs with super-linearly growing coefficients

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