Compensated stochastic theta methods for stochastic differential equations with jumps

DOI10.1016/j.apnum.2010.04.012zbMath1198.65034MaRDI QIDQ987597

Xiao-Jie Wang, Si-qing Gan

Publication date: 13 August 2010

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2010.04.012

zbMATH Keywords

strong convergence; A-stability; jump-diffusion; compensated Poisson process; B-stability; stochastic theta methods; exponential mean-square stability

Mathematics Subject Classification ID

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps, Exponential mean square stability of numerical methods for systems of stochastic differential equations, Stability of exponential Euler method for stochastic systems under Poisson white noise excitations, A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise, Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process, Symplectic conditions and stochastic generating functions of stochastic Runge-Kutta methods for stochastic Hamiltonian systems with multiplicative noise, Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps, B-convergence of split-step one-leg theta methods for stochastic differential equations, Compensated stochastic theta methods for stochastic differential delay equations with jumps, The improved split-step backward Euler method for stochastic differential delay equations

Uses Software

• RODAS

Cites Work

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