Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure
DOI10.1016/j.cam.2018.02.039zbMath1391.60166OpenAlexW2794202721WikidataQ130140630 ScholiaQ130140630MaRDI QIDQ1636771
Minghui Song, Yulan Lu, Ming-Zhu Liu
Publication date: 12 June 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2018.02.039
exponential mean square stabilitystochastic differential equations with piecewise continuous arguments driven by Poisson random measurestrongly convergent in \(p\)th momentthe compensated split-step theta method
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stability and convergence of numerical methods for ordinary differential equations (65L20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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