Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure

DOI10.1186/1687-1847-2012-214zbMath1386.65043OpenAlexW2105586431WikidataQ59291156 ScholiaQ59291156MaRDI QIDQ1690897

Minghui Song, Hui Yu

Publication date: 12 January 2018

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/1687-1847-2012-214

zbMATH Keywords

convergencestochastic differential equationsPoisson random measureexponential mean-square stability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Numerical methods for simulation of stochastic differential equations

Uses Software

• RODAS

Cites Work

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