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

DOI10.1016/J.CNSNS.2010.04.032zbMATH Open1221.60084OpenAlexW1987458110MaRDI QIDQ718383FDOQ718383

Authors: Feng Jiang, Yi Shen, Lei Liu 

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

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zbMATH Keywords

strong convergenceTaylor approximationPoisson jumpstochastic differential delay equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for functional-differential equations (65L03)

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• 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
• 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
• Title not available (Why is that?)
• The adapted solution and comparison theorem for backward stochastic differential equations with Poisson jumps and applications
• An analytic approximation of solutions of stochastic differential equations
• 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
• 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
• Taylor approximation of stochastic functional differential equations with the Poisson jump
• A note on order of convergence of numerical method for neutral stochastic functional differential equations
• 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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