Numerical solutions of stochastic differential delay equations with jumps

MaRDI QIDQ5862235zbMATH OpenFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Continuous-time Markov chains. An applications-oriented approach
• Convergence and stability of implicit methods for jump-diffusion systems
• Convergence of the Euler--Maruyama method for stochastic differential equations with Markovian switching.
• Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
• Exponential stability of equidistant Euler-Maruyama approximations of stochastic differential delay equations
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Preserving exponential mean-square stability in the simulation of hybrid stochastic differential equations
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• 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

Cited in

(23)

• Equivalence of pth 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
• 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 of approximate solutions to stochastic delay differential equations with Poisson jump
• Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
• Convergence balanced methods for stochastic variable delay differential equations with Poisson jumps
• A note on convergence analysis for implicit simulations of stochastic differential equations with random jump magnitudes
• Numerical analysis for stochastic partial differential delay equations with jumps
• Numerical Solutions of Stochastic 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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