scientific article; zbMATH DE number 1054336

MaRDI QIDQ4351952zbMATH OpenFDO

Authors Y. Maghsoodi

Publication date 3 February 1998

zbMATH Keywords

discretizationstochastic differential equationsjump-diffusionsTaylor expansions in semigroups

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic approximation (62L20) Stochastic systems and control (93E99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35)

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Cited in

(27)

• Numerical methods for mean-field stochastic differential equations with jumps
• Implicit numerical solutions for solving stochastic differential equations with jumps
• The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps
• Exact linearization of one-dimensional jump-diffusion stochastic differential equations
• scientific article; zbMATH DE number 5910754 (Why is no real title available?)
• Strong approximations of stochastic differential equations with jumps
• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes
• Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
• Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
• The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
• Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
• Runge-Kutta methods for jump-diffusion differential equations
• Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
• A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
• Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
• Approximation of jump diffusions in finance and economics
• Numerical methods for nonlinear stochastic differential equations with jumps
• Product expansion for stochastic jump diffusions and its application to numerical approximation
• Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps
• Compensated \(\theta\)-Milstein methods for stochastic differential equations with Poisson jumps
• Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
• Exact simulation of the first passage time through a given level of jump diffusions
• Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process
• Convergence analysis of semi-implicit Euler methods for solving stochastic age-dependent capital system with variable delays and random jump magnitudes

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