Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments (Q829106)

scientific article; zbMATH DE number 7344475

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English	Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments	scientific article; zbMATH DE number 7344475

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instance of

scholarly article

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title

Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments (English)

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author

N. E. Zubov

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published in

Science China. Mathematics

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publication date

5 May 2021

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zbMATH Keywords

stiff stochastic differential equation

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jump diffusion

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piecewise continuous argument

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compensated split-step balanced method

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strong convergence

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mean-square exponential stability

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1007/s11425-019-1781-6

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cites work

A note on the balanced method

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A class of split-step balanced methods for stiff stochastic differential equations

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Numerical methods for nonlinear stochastic differential equations with jumps

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Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

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Semi-implicit split-step numerical methods for a class of nonlinear stochastic differential equations with non-Lipschitz drift terms

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Taylor approximation of the solutions of stochastic differential delay equations with Poisson jump

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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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Q5429735

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Generalised Discrete Gronwall Lemmas

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Oscillation criteria for boundary value problems of high-order partial functional differential equations

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Split-step backward balanced Milstein methods for stiff stochastic systems

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Stability analysis of Runge–Kutta methods for differential equations with piecewise continuous arguments of mixed type

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Q4858399

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Asymptotical boundedness and moment exponential stability for stochastic neutral differential equations with time-variable delay and Markovian switching

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A class of stochastic one-parameter methods for nonlinear SFDEs with piecewise continuous arguments

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Extended block boundary value methods for neutral equations with piecewise constant argument

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A multi-domain Legendre spectral collocation method for nonlinear neutral equations with piecewise continuous argument

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Backward Euler-Maruyama method applied to nonlinear hybrid stochastic differential equations with time-variable delay

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Convergence of the Euler method of stochastic differential equations with piecewise continuous arguments

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Identifiers

zbMATH Open document ID

1469.65034

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Mathematics Subject Classification ID

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10.1007/S11425-019-1781-6

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Sitelinks

Mathematics(1 entry)

mardi Publication:829106