Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps

DOI10.1016/J.SPL.2004.10.038MaRDI QIDQ871042zbMATHOpenAlexFDO

Authors Shujin Wu, Dong Han

Publication date 15 March 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2004.10.038

zbMATH Keywords

convergencestochastic difference equationEuler schemecontinuous dependence on initial valuestochastic differential equation with jumps

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites work

• A note on asymptotic properties of the estimator derived from the Euler method for diffusion processes at discrete times
• Euler scheme for reflected stochastic differential equations
• Euler scheme for solutions of a countable system of stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Stability of weak numerical schemes for stochastic differential equations
• Stochastic differential equations. An introduction with applications.
• The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus
• \(p\)-moment stability of stochastic differential equations with jumps

Cited in

(9)

• Exponential stability of Euler-Maruyama solutions for impulsive stochastic differential equations with delay
• Existence and uniqueness of stochastic differential equations with random impulses and Markovian switching under non-Lipschitz conditions
• Numerical analysis for jump-diffusion stochastic differential equations
• On the Euler scheme for SDEs with jumps
• The Euler scheme for random impulsive differential equations
• The Euler scheme for Feller processes
• Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness
• The Euler scheme for a stochastic differential equation driven by pure jump semimartingales
• Sensitivity analysis for jump processes

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