Convergence and stability of split-step-theta methods for stochastic differential equations with jumps under non-global Lipschitz drift coefficient
zbMATH Open1440.60064MaRDI QIDQ5116778FDOQ5116778
Authors: Jean Daniel Mukam, Antoine Tambue 
Publication date: 18 August 2020
Full work available at URL: http://www.seminariomatematico.polito.it/rendiconti/76-2/165.pdf
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) White noise theory (60H40)
Cited In (11)
- Convergence and stability of the compensated split-step \(\theta\)-method for stochastic differential equations with jumps
- High-order split-step theta methods for non-autonomous stochastic differential equations with non-globally Lipschitz continuous coefficients
- Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition
- Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems
- Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
- Stability analysis of the split-step theta method for nonlinear regime-switching jump systems
- Mean-square convergence and stability of compensated stochastic theta methods for jump-diffusion SDEs with super-linearly growing coefficients
- Numerical methods for nonlinear stochastic differential equations with jumps
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
- Convergence and stability of the split-step theta method for stochastic differential equations with piecewise continuous arguments
- Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients
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