Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients (Q2315938)

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English	Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients	scientific article

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scholarly article

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title

Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients (English)

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Journal of Computational and Applied Mathematics

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publication date

26 July 2019

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zbMATH Keywords

jump-diffusion SDEs

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super-linearly growing coefficients

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backward Euler method

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mean square convergence

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mean square stability

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2019.06.018

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cites work

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Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

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Identifiers

zbMATH Open document ID

1418.60097

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Mathematics Subject Classification ID

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10.1016/J.CAM.2019.06.018

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Sitelinks

Mathematics(1 entry)

mardi Publication:2315938