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

DOI10.1155/2011/917892zbMATH Open1235.60085OpenAlexW2159033686WikidataQ58655562 ScholiaQ58655562MaRDI QIDQ764568FDOQ764568

Siqing Gan, Lin Hu

Publication date: 13 March 2012

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

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

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• Mean-square stability of the backward Euler-Maruyama method for neutral stochastic delay differential equations with jumps

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)

Cites Work

• Financial Modelling with Jump Processes
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Title not available (Why is that?)
• Introduction to the numerical analysis of stochastic delay differential equations
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Mean square convergence of one-step methods for neutral stochastic differential delay equations
• One-step approximations for stochastic functional differential equations
• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Title not available (Why is that?)
• Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities

Cited In (5)

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

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