scientific article; zbMATH DE number 5042389
From MaRDI portal
Publication:5479951
zbMath1109.65007MaRDI QIDQ5479951
Desmond J. Higham, Peter E. Kloeden
Publication date: 25 July 2006
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
strong convergencestochastic differential equationsnumerical stabilityimplicit Euler schemejump-diffusions
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (64)
Numerical methods for nonlinear stochastic delay differential equations with jumps ⋮ Mean-square convergence and stability of two-step Milstein methods for stochastic differential equations with Poisson jumps ⋮ Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments ⋮ Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching ⋮ Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure ⋮ Convergence of the split-step \(\theta\)-method for stochastic age-dependent population equations with Markovian switching and variable delay ⋮ Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump ⋮ A parallel time integrator for noisy nonlinear oscillatory systems ⋮ On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions ⋮ Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps ⋮ Optimal global approximation of stochastic differential equations with additive Poisson noise ⋮ Existence, uniqueness, and stability of stochastic neutral functional differential equations of Sobolev-type ⋮ Approximation of jump diffusions in finance and economics ⋮ Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure ⋮ Construction of positivity preserving numerical method for jump-diffusion option pricing models ⋮ A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes ⋮ Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps ⋮ Optimal sampling design for global approximation of jump diffusion stochastic differential equations ⋮ Convergence of numerical solution to stochastic delay differential equation with Poisson jump and Markovian switching ⋮ Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems ⋮ Strong approximations of stochastic differential equations with jumps ⋮ Unnamed Item ⋮ Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients ⋮ A long term analysis of stochastic theta methods for mean reverting linear process with jumps ⋮ Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps ⋮ The truncated EM method for stochastic differential equations with Poisson jumps ⋮ Numerical conservation issues for jump Pearson diffusions ⋮ Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes ⋮ Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems ⋮ Stochastic \(\theta\)-methods for a class of jump-diffusion stochastic pantograph equations with random magnitude ⋮ Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps ⋮ Exponential mean square stability of numerical methods for systems of stochastic differential equations ⋮ Euler-Maruyama approximation for SDEs with jumps and non-Lipschitz coefficients ⋮ Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems ⋮ Convergence and stability of the compensated split-step \(\theta\)-method for stochastic differential equations with jumps ⋮ Implicit numerical solutions for solving stochastic differential equations with jumps ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Convergence of the compensated split-step \(\theta\)-method for nonlinear jump-diffusion systems ⋮ Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps ⋮ Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps ⋮ Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift ⋮ On tamed Milstein schemes of SDEs driven by Lévy noise ⋮ Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps ⋮ Convergence of jump-diffusion non-linear differential equation with phase semi-Markovian switching ⋮ pTH Moment Exponential Stability of Stochastic Partial Differential Equations with Poisson Jumps ⋮ Mean-square dissipative methods for stochastic age-dependent capital system with fractional Brownian motion and jumps ⋮ Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition ⋮ Numerical methods for nonlinear stochastic differential equations with jumps ⋮ Convergence of the semi-implicit Euler method for neutral stochastic delay differential equations with phase semi-Markovian switching ⋮ Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump ⋮ Numerical methods for a class of jump-diffusion systems with random magnitudes ⋮ Compensated stochastic theta methods for stochastic differential equations with jumps ⋮ The semi-implicit Euler method for stochastic differential delay equation with jumps ⋮ Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump ⋮ On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps ⋮ On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps ⋮ Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps ⋮ On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations ⋮ Compensated \(\theta\)-Milstein methods for stochastic differential equations with Poisson jumps ⋮ Positivity preserving stochastic \(\theta\)-methods for selected SDEs ⋮ Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients ⋮ Exponential stability and numerical methods of stochastic recurrent neural networks with delays ⋮ Exact simulation of the first passage time through a given level of jump diffusions ⋮ Algebraic structures and stochastic differential equations driven by Lévy processes
This page was built for publication:
