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

DOI10.1016/J.SPL.2004.10.038zbMATH Open1114.60055OpenAlexW2036900342MaRDI QIDQ871042FDOQ871042

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

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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)

Cites Work

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

Cited In (9)

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

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