Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps

DOI10.1080/00207160.2021.1923013zbMath1499.65020OpenAlexW3159071120WikidataQ115314340 ScholiaQ115314340MaRDI QIDQ5063465

Quanwei Ren

Publication date: 21 March 2022

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

Full work available at URL: https://doi.org/10.1080/00207160.2021.1923013

zbMATH Keywords

mean-square convergencemean-square stabilityPoisson jumpsAdams methodcompensated two-step Maruyama methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps ⋮ A long term analysis of stochastic theta methods for mean reverting linear process with jumps

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