The semi-implicit Euler method for stochastic differential delay equation with jumps

DOI10.1016/j.amc.2007.03.027zbMath1193.65008OpenAlexW1988067132WikidataQ115361805 ScholiaQ115361805MaRDI QIDQ990559

Hong Xue, La-Sheng Wang, Chang-Lin Mei

Publication date: 1 September 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.03.027

zbMATH Keywords

mean-square convergencePoisson jumpstochastic differential delay equationscontinuous \(\theta \)-method

Mathematics Subject Classification ID

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Cites Work

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• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• 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
• Introduction to the numerical analysis of stochastic delay differential equations
• Numerical solutions of stochastic differential delay equations under local Lipschitz condition
• Numerical methods for nonlinear stochastic differential equations with jumps
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Probability with Martingales
• Option pricing when underlying stock returns are discontinuous

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