Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions

DOI10.1155/2012/127397MaRDI QIDQ448585zbMATH OpenOpenAlexWikidataFDO

Authors Minghui Song, Hui Yu

Publication date 7 September 2012

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/127397

zbMATH Keywords

Euler methodstochastic differential delay equations

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3784039 (Why is no real title available?)
• Adaptive Weak Approximation of Diffusions with Jumps
• 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
• Existence of global solutions and invariant measures for stochastic differential equations driven by Poisson type noise with non-Lipschitz coefficients
• Financial Modelling with Jump Processes
• Khasminskii-Type Theorems for Stochastic Differential Delay Equations
• Khasminskii-type theorems for neutral stochastic functional differential equations
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• On weak predictor-corrector schemes for jump-diffusion processes in finance
• Option pricing when underlying stock returns are discontinuous
• Runge-Kutta methods for jump-diffusion differential equations
• Stability of regime-switching stochastic differential equations
• Stochastic Differential Equations with Markovian Switching
• Strong approximations of stochastic differential equations with jumps
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps

Cited in

(7)

• Propagation of chaos for stochastic spatially structured neuronal networks with delay driven by jump diffusions
• Numerical solutions of stochastic differential delay equations under the generalized Khasminskii-type conditions
• 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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