Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions
DOI10.1155/2012/127397zbMATH Open1246.65019OpenAlexW1969035063WikidataQ58694878 ScholiaQ58694878MaRDI QIDQ448585FDOQ448585
Authors: Minghui Song, Hui Yu 
Publication date: 7 September 2012
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/127397
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Financial Modelling with Jump Processes
- Option pricing when underlying stock returns are discontinuous
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- Adaptive Weak Approximation of Diffusions with Jumps
- Title not available (Why is that?)
- Strong approximations of stochastic differential equations with jumps
- Stability of regime-switching stochastic differential equations
- Khasminskii-Type Theorems for Stochastic Differential Delay Equations
- Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
- Existence of global solutions and invariant measures for stochastic differential equations driven by Poisson type noise with non-Lipschitz coefficients
- Approximation of jump diffusions in finance and economics
- Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
- Convergence of numerical solutions to stochastic delay differential equations with jumps
- On weak predictor-corrector schemes for jump-diffusion processes in finance
- Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
- Khasminskii-type theorems for neutral stochastic functional differential equations
- Runge-Kutta methods for jump-diffusion differential equations
Cited In (7)
- Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions
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- Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients
- Exponential stability and numerical methods of stochastic recurrent neural networks with delays
- Numerical solutions for equations with piecewise continuous arguments driven by Wiener process and Poisson random measure under the Khasminskii-type conditions
- Numerical solutions of stochastic delay age-structured population under the generalized Khasminskiĭ-type conditions
- The truncated Euler-Maruyama method for stochastic differential delay equations
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