Runge-Kutta methods for jump-diffusion differential equations
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)
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- A jump-diffusion model for option pricing
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- Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations
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- Multilevel Monte Carlo Path Simulation
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- Stepsize Control for Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noise
- Stochastic Partial Differential Equations with Levy Noise
- Stochastic Runge-Kutta methods for Itô sodes with small noise
- Stochastic differential algebraic equations of index 1 and applications in circuit simulation.
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- Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
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Cited in
(15)- Deep learning schemes for parabolic nonlocal integro-differential equations
- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- The Monte Carlo wave-function method: a robust adaptive algorithm and a study in convergence
- Efficient approximation of SDEs driven by countably dimensional Wiener process and Poisson random measure
- Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
- Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
- Exact simulation of the first passage time through a given level of jump diffusions
- A stepsize control algorithm for SDEs with small noise based on stochastic Runge-Kutta Maruyama methods
- Compensated stochastic theta methods for stochastic differential delay equations with jumps
- Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients
- Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
- Two-stage stochastic Runge-Kutta methods for stochastic differential equations with jump diffusion
- Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions
- Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
- Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
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