Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion

DOI10.1155/2011/917892MaRDI QIDQ764568zbMATH OpenOpenAlexWikidataFDO

Authors Lin Hu, Siqing Gan

Publication date 13 March 2012

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2011/917892

zbMATH Keywords

neutral stochastic delay differential equationsglobal error estimatesdrift-implicit one-step schemesmean-square convergence theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
• Financial Modelling with Jump Processes
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Introduction to the numerical analysis of stochastic delay differential equations
• Mean square convergence of one-step methods for neutral stochastic differential delay equations
• Mean square convergence of stochastic \(\theta\)-methods for nonlinear neutral stochastic differential delay equations
• One-step approximations for stochastic functional differential equations
• The semi-implicit Euler method for stochastic differential delay equation with jumps

Cited in

(6)

• Mean-square stability of the backward Euler-Maruyama method for neutral stochastic delay differential equations with jumps
• Mean-square convergence of Heun method for stochastic delay differential equation with Poisson jumps
• Implicit numerical solutions for solving stochastic differential equations with jumps
• Exponential mean-square stability of the \(\theta\)-method for neutral stochastic delay differential equations with jumps
• Mean square convergence of one-step methods for neutral stochastic differential delay equations
• Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps

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