Numerical solutions of stochastic differential delay equations with jumps

zbMATH Open1499.65026MaRDI QIDQ5862235FDOQ5862235

Authors: Minghui Song, Guihua Zhao, M. Z. Liu 

Publication date: 7 March 2022

Full work available at URL: https://www.global-sci.org/intro/article_detail/ijnam/790.html

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zbMATH Keywords

convergenceexponential stabilityLipschitz conditionPoisson jumpsemi-implicit Euler method

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) Stability and convergence of numerical methods for ordinary differential equations (65L20)

Cites Work

• An algorithmic introduction to numerical simulation of stochastic differential equations
• Title not available (Why is that?)
• Continuous-time Markov chains. An applications-oriented approach
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Numerical methods for nonlinear stochastic differential equations with jumps
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• Convergence and stability of implicit methods for jump-diffusion systems
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations

Cited In (23)

• Equivalence of \(p\)th moment stability between stochastic differential delay equations and their numerical methods
• Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
• Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
• Numerical approximation of stochastic differential delay equation with coefficients of polynomial growth
• Numerical methods for nonlinear stochastic delay differential equations with jumps
• Numerical approximations for nonlinear stochastic systems with delays
• Numerical methods for a class of jump-diffusion systems with random magnitudes
• Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Stability analysis between the hybrid stochastic delay differential equations with jumps and the Euler-Maruyama method
• Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions
• Convergence of approximate solutions to stochastic delay differential equations with Poisson jump
• The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps
• Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
• Convergence balanced methods for stochastic variable delay differential equations with Poisson jumps
• Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
• A note on convergence analysis for implicit simulations of stochastic differential equations with random jump magnitudes
• Numerical Solutions of Stochastic Differential Delay Equations with Jumps
• Numerical analysis for stochastic partial differential delay equations with jumps
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• Convergence of jump-diffusion non-linear differential equation with phase semi-Markovian switching
• Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients
• Numerical solutions to neutral stochastic delay differential equations with Poisson jumps under local Lipschitz condition

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