Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump

DOI10.1016/j.cnsns.2010.04.032zbMath1221.60084OpenAlexW1987458110MaRDI QIDQ718383

Lei Liu, Yi Shen, Feng Jiang

Publication date: 23 September 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.04.032

zbMATH Keywords

strong convergenceTaylor approximationPoisson jumpstochastic differential delay equations

Mathematics Subject Classification ID

Related Items (14)

Numerical methods for nonlinear stochastic delay differential equations with jumps ⋮ Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments ⋮ Stability analysis of stochastic delay differential equations with Markovian switching driven by Lévy noise ⋮ A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes ⋮ Poisson stable solutions and solution maps for stochastic functional differential equations ⋮ A note on order of convergence of numerical method for neutral stochastic functional differential equations ⋮ Approximations of numerical method for neutral stochastic functional differential equations with Markovian switching ⋮ Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching ⋮ pTH Moment Exponential Stability of Stochastic Partial Differential Equations with Poisson Jumps ⋮ Stochastic optimal time-delay control of quasi-integrable Hamiltonian systems ⋮ Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump ⋮ Taylor approximation of the solution of age-dependent stochastic delay population equations with Ornstein-Uhlenbeck process and Poisson jumps ⋮ Approximate solutions of hybrid stochastic pantograph equations with Levy jumps ⋮ Compensated stochastic theta methods for stochastic differential delay equations with jumps

Cites Work

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• 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
• Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Weak discrete time approximation of stochastic differential equations with time delay
• An analytic approximation of solutions of stochastic differential equations
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• Numerical methods for nonlinear stochastic differential equations with jumps
• Exponential stability in \(p\)-th mean of solutions, and of convergent Euler-type solutions, of stochastic delay differential equations

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