EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION

DOI10.12941/jksiam.2014.18.043zbMath1317.65028MaRDI QIDQ5258040

Hamdy M. Ahmed

Publication date: 25 June 2015

Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12941/jksiam.2014.18.043

zbMATH Keywords

convergence; stochastic differential equations; nonlinearity; compensated Poisson process; jump diffusion; Euler-Maruyama method

Mathematics Subject Classification ID

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations