A compensated numerical method for solving stochastic differential equations with variable delays and random jump magnitudes

DOI10.1155/2015/810160zbMath1394.65006OpenAlexW1602817313WikidataQ59119963 ScholiaQ59119963MaRDI QIDQ1666620

Ying Du, Chang-Lin Mei

Publication date: 27 August 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/810160

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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• Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes
• Convergence rate of numerical solutions to SFDEs with jumps
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• Numerical methods for a class of jump-diffusion systems with random magnitudes
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes
• The semi-implicit Euler method for stochastic differential delay equation with jumps
• Convergence of numerical solutions for variable delay differential equations driven by Poisson random jump measure
• Convergence of numerical solutions to stochastic delay differential equations with jumps
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical Solutions of Stochastic Differential Delay Equations with Jumps
• Continuous and discrete Halanay-type inequalities
• Financial Modelling with Jump Processes

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