Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems (Q6191885)

scientific article; zbMATH DE number 7803029

Language	Label	Description	Also known as
English	Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems	scientific article; zbMATH DE number 7803029

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instance of

scholarly article

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title

Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems (English)

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Journal of Computational Mathematics

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publication date

12 February 2024

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zbMATH Keywords

jump-diffusion

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jump-adapted implicit Milstein method

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Poisson jumps

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strong convergence rate

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non-Lipschitz coefficients

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.4208/jcm.2206-m2021-0354

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cites work

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

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Financial Modelling with Jump Processes

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Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

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Mean-square dissipativity of several numerical methods for stochastic differential equations with jumps

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On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps

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On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs

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Adaptive Weak Approximation of Diffusions with Jumps

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Q3962270

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Numerical solution of stochastic differential equations with jumps in finance

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Strong convergence of the tamed and the semi-tamed Euler schemes for stochastic differential equations with jumps under non-global Lipschitz condition

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Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition

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Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump

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A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models

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Strong Convergence Analysis of Split-Step <i>θ</i>-Scheme for Nonlinear Stochastic Differential Equations with Jumps

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Identifiers

Mathematics Subject Classification ID

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10.4208/JCM.2206-M2021-0354

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Sitelinks

Mathematics(1 entry)

mardi Publication:6191885