Strong convergence of split-step forward methods for stochastic differential equations driven by S S processes

DOI10.30495/JME.V0I0.1699MaRDI QIDQ5078985zbMATH OpenFDO

Authors B. Tarami, Mohsen Avaji

Publication date 25 May 2022

zbMATH Keywords

stochastic differential equationstrong convergence\(\alpha\)-stable processabsolute-value stabilitysplit step forward method

Mathematics Subject Classification ID

Stochastic approximation (62L20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic particle methods (65C35)

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(5)

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• Invariant measure of the backward Euler method for stochastic differential equations driven by α$$ \alpha $$‐stable process
• Strong Convergence for Split-Step Methods in Stochastic Jump Kinetics
• Simulation of non-Lipschitz stochastic differential equations driven by \(\alpha\)-stable noise: a method based on deterministic homogenization

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