Numerical Solutions of Stochastic Differential Delay Equations with Jumps

DOI10.1080/07362990902976637zbMath1168.60356OpenAlexW2094717896MaRDI QIDQ3391782

Chenggui Yuan, Yongtian Wang, Niels Jacob

Publication date: 13 August 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990902976637

zbMATH Keywords

convergence ratestochastic theta methodEuler-Maruyama methodstochastic differential delay equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability theory of functional-differential equations (34K20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (17)

Stabilization of Highly Nonlinear Hybrid Stochastic Differential Delay Equations with Lévy Noise by Delay Feedback Control ⋮ Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions ⋮ A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes ⋮ Numerical analysis for stochastic partial differential delay equations with jumps ⋮ A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations ⋮ Approximation of distribution-independent and distribution-dependent stochastic differential equations with singular drifts ⋮ Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps ⋮ A note on order of convergence of numerical method for neutral stochastic functional differential equations ⋮ Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients ⋮ Choice of θ and its effects on stability in the stochastic θ-method of stochastic delay differential equations ⋮ Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps ⋮ Tamed EM scheme of neutral stochastic differential delay equations ⋮ Stochastic differential delay equations with jumps, under nonlinear growth condition ⋮ Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump ⋮ Convergence rate of Euler-Maruyama scheme for stochastic pantograph differential equations ⋮ Approximate solutions of hybrid stochastic pantograph equations with Levy jumps ⋮ Convergence rate of EM scheme for \normalfont𝑆𝐷𝐷𝐸𝑠

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• Asymptotic Stability and Boundedness of Delay Switching Diffusions
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