The semi-implicit Euler method for stochastic differential delay equation with jumps
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Cites work
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 47670 (Why is no real title available?)
- A survey of numerical methods for stochastic differential equations
- Almost sure exponential stability of neutral stochastic differential difference equations
- Continuous \(\Theta\)-methods for the stochastic pantograph equation
- Convergence and stability of implicit methods for jump-diffusion systems
- Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
- Introduction to the numerical analysis of stochastic delay differential equations
- Numerical methods for nonlinear stochastic differential equations with jumps
- Numerical solutions of stochastic differential delay equations under local Lipschitz condition
- Option pricing when underlying stock returns are discontinuous
- Probability with Martingales
- The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
Cited in
(41)- Convergence and stability of the balanced methods for stochastic differential equations with jumps
- Numerical solutions of stochastic differential delay equations with jumps
- Approximate solutions of hybrid stochastic pantograph equations with Levy jumps
- Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
- A new convergence and positivity analysis of balanced Euler method for stochastic age‐dependent population equations
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
- Numerical schemes for stochastic differential equations with variable and distributed delays: the interpolation approach
- Numerical methods for nonlinear stochastic delay differential equations with jumps
- Convergence and stability of balanced methods for stochastic delay integro-differential equations
- Neutral stochastic functional differential equations with infinite delay and Poisson jumps in the C_g space
- Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching
- Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps
- Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
- Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump
- Strong convergence and almost sure exponential stability of balanced numerical approximations to stochastic delay Hopfield neural networks
- Numerical methods for a class of jump-diffusion systems with random magnitudes
- Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes
- Full implicit Euler method for stochastic delay differential equations
- Convergence and stability of the split-step backward Euler method for linear stochastic delay integro-differential equations
- Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
- Convergence of the semi-implicit Euler method for stochastic age-dependent population equations with Poisson jumps
- Convergence rates of the semi-discrete method for stochastic differential equations
- Existence and uniqueness of solutions to neutral stochastic functional differential equations with Poisson jumps
- Discrete time waveform relaxation method for stochastic delay differential equations
- The truncated theta-EM method for nonlinear and nonautonomous hybrid stochastic differential delay equations with Poisson jumps
- Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
- Convergence of semi-implicit Euler method for nonlinear stochastic delay differential equations
- Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
- Semi-implicit Euler-Maruyama method for non-linear time-changed stochastic differential equations
- A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes
- A semi-discretization method for delayed stochastic systems
- Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion
- Taylor approximation of the solution of age-dependent stochastic delay population equations with Ornstein-Uhlenbeck process and Poisson jumps
- Stochastic -methods for a class of jump-diffusion stochastic pantograph equations with random magnitude
- Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
- Compensated stochastic theta methods for stochastic differential delay equations with jumps
- A note on convergence analysis for implicit simulations of stochastic differential equations with random jump magnitudes
- Convergence of numerical solutions to stochastic delay differential equations with jumps
- Exponential mean-square stability of the \(\theta\)-method for neutral stochastic delay differential equations with jumps
- Convergence analysis of semi-implicit Euler methods for solving stochastic age-dependent capital system with variable delays and random jump magnitudes
- Numerical solutions to neutral stochastic delay differential equations with Poisson jumps under local Lipschitz condition
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