The truncated Euler–Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise

DOI10.1080/00207160.2020.1748187zbMath1480.65024OpenAlexW3013982737MaRDI QIDQ5031226

Wei Zhang

Publication date: 18 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2020.1748187

zbMATH Keywords

stochastic differential equationconvergence ratelocal Lipschitz conditionKhasminskii-type conditiontruncated Euler-Maruyama method

Mathematics Subject Classification ID

Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

Related Items

Convergence and stability of an explicit method for nonlinear stochastic differential equations with piecewise continuous arguments ⋮ Convergence and stability of modified partially truncated Euler-Maruyama method for stochastic differential equations with piecewise continuous arguments

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