Numerical methods for nonlinear stochastic delay differential equations with jumps

DOI10.1016/J.AMC.2013.12.174zbMath1334.65019OpenAlexW2055968530MaRDI QIDQ272583

Ming-Zhu Liu, Gui-Hua Zhao

Publication date: 20 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.amc.2013.12.174

zbMATH Keywords

strong convergencePoisson processglobal Lipschitzone-side Lipschitzsplit-step

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

The truncated \(\theta \)-Milstein method for nonautonomous and highly nonlinear stochastic differential delay equations ⋮ Convergence and stability of split-step θ methods for stochastic variable delay differential equations ⋮ Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps ⋮ Exponential mean-square stability of numerical solutions for stochastic delay integro-differential equations with Poisson jump

Cites Work

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• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Numerical methods for nonlinear stochastic differential equations with jumps
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Financial Modelling with Jump Processes

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