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

DOI10.1016/J.AMC.2007.03.027zbMATH Open1193.65008OpenAlexW1988067132WikidataQ115361805 ScholiaQ115361805MaRDI QIDQ990559FDOQ990559

Authors: Hong Xue, Lasheng 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

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zbMATH Keywords

Poisson jumpmean-square convergencestochastic differential delay equationscontinuous \(\theta \)-method

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Probability with Martingales
• Option pricing when underlying stock returns are discontinuous
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• 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

Cited In (41)

• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Approximate solutions of hybrid stochastic pantograph equations with Levy 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
• Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps
• 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
• Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps
• Analytic approximation of the solutions of stochastic differential delay equations with Poisson jump and Markovian switching
• Convergence and stability of the semi-implicit Euler method for a linear stochastic differential delay equation
• Strong convergence and almost sure exponential stability of balanced numerical approximations to stochastic delay Hopfield neural networks
• Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump
• Numerical methods for a class of jump-diffusion systems with random magnitudes
• Full implicit Euler method for stochastic delay differential equations
• Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes
• 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
• Convergence of semi-implicit Euler method for nonlinear 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 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
• Taylor approximation of the solution of age-dependent stochastic delay population equations with Ornstein-Uhlenbeck process and Poisson jumps
• Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion
• Stochastic \(\theta\)-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
• Numerical solutions of stochastic differential delay equations with jumps

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