scientific article; zbMATH DE number 797355

MaRDI QIDQ4848515zbMATH OpenFDO

Authors

Publication date 17 September 1995

zbMATH Keywords

Brownian motionGronwall's inequalityjump-diffusion typerandom counting measurestability problemstochastic differential equationsstrong solution

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integral equations (60H20) Stochastic stability in control theory (93E15)

Recommendations

• Stability theorem for stochastic differential equations with jumps
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• Almost sure stability of linear stochastic differential equations with jumps
• Almost sure stability for uncertain differential equation with jumps

Cited in

(11)

• Almost sure convergence of the numerical discretization of stochastic jump diffusions
• Convergence of solutions and their exit times in diffusion models with jumps
• Convex concentration for some additive functionals of jump stochastic differential equations
• Approximation of jump diffusions in finance and economics
• Almost sure convergence result of stochastic parabolic partial differential equations
• Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps
• Runge-Kutta methods for jump-diffusion differential equations
• Stabilisation of stochastic systems driven by Poisson process
• Stability theorem for stochastic differential equations with jumps
• Strong approximations of stochastic differential equations with jumps
• On the jump-diffusion approximation of stochastic difference equations driven by a mixing sequence

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