Numerical methods for a class of jump-diffusion systems with random magnitudes

DOI10.1016/J.CNSNS.2010.09.029zbMATH Open1221.65017OpenAlexW2087319430MaRDI QIDQ718596FDOQ718596

Lei Liu, Feng Jiang, Yi Shen

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.2010.09.029

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zbMATH Keywords

stochastic differential delay equationssemi-implicit Euler methodrandom jump magnitude

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Stochastic differential equations and applications.
• Option pricing when underlying stock returns are discontinuous
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Convergence of numerical solutions to stochastic differential delay equations with Poisson jump and Markovian switching
• Numerical methods for nonlinear stochastic differential equations with jumps
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• 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
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• The stochastic stability of interest rates with jump changes
• Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes

Cited In (5)

• Multiscale Integration Schemes for Jump-Diffusion Systems
• A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes
• Stochastic \(\theta\)-methods for a class of jump-diffusion stochastic pantograph equations with random magnitude
• Convergence of numerical solutions for a class of stochastic age-dependent capital system with random jump magnitudes
• Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes

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