Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump
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Cites work
- scientific article; zbMATH DE number 1016795 (Why is no real title available?)
- An analytic approximation of solutions of stochastic differential equations
- Convergence and stability of implicit methods for jump-diffusion systems
- Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
- Convergence of numerical solutions to stochastic delay differential equations with jumps
- Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Numerical methods for nonlinear stochastic differential equations with jumps
- Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
- The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
- The semi-implicit Euler method for stochastic differential delay equation with jumps
- Weak discrete time approximation of stochastic differential equations with time delay
Cited in
(18)- Approximate solutions of hybrid stochastic pantograph equations with Levy jumps
- Numerical methods for nonlinear stochastic delay differential equations with jumps
- Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching
- Poisson stable solutions and solution maps for stochastic functional differential equations
- Approximations of numerical method for neutral stochastic functional differential equations with Markovian switching
- Stochastic optimal time-delay control of quasi-integrable Hamiltonian systems
- \(p\)th moment exponential stability of stochastic partial differential equations with Poisson jumps
- A note on order of convergence of numerical method for neutral stochastic functional differential equations
- Taylor approximation of stochastic functional differential equations with the Poisson jump
- Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
- Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise
- Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
- A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes
- Taylor approximation of the solution of age-dependent stochastic delay population equations with Ornstein-Uhlenbeck process and Poisson jumps
- A Taylor method for stochastic differential equations with time-dependent delay via the polynomial condition
- A systematic derivation of stochastic Taylor methods for stochastic delay differential equations
- A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
- Compensated stochastic theta methods for stochastic differential delay equations with jumps
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