The Truncated Em Method for Jump-Diffusion Sddes with Super-Linearly Growing Diffusion and Jump Coefficients

DOI10.4208/jcm.2204-m2021-0270OpenAlexW4361801882MaRDI QIDQ6191883

Xuerong Mao, Chen Fei, Shounian Deng, Weiyin Fei

Publication date: 12 February 2024

Published in: Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://strathprints.strath.ac.uk/80128/1/Deng_etal_JCM_2022_The_truncated_EM_method_for_jump_diffusion.pdf

zbMATH Keywords

Poisson jumpstime-variable delaySDDEstruncated EM method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (1)

Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model

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