Implicit numerical solutions for solving stochastic differential equations with jumps

DOI10.1155/2014/159107zbMath1470.65009OpenAlexW2123461874WikidataQ59035610 ScholiaQ59035610MaRDI QIDQ1722219

Ying Du, Chang-Lin Mei

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/159107

Mathematics Subject Classification ID

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

Related Items (1)

Lower bound approximation of nonlinear basket option with jump-diffusion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A class of split-step balanced methods for stiff stochastic differential equations
• Almost sure exponential stability of backward Euler-Maruyama discretizations for hybrid stochastic differential equations
• Convergence and stability of the split-step \(\theta \)-method for stochastic differential equations
• A comparative linear mean-square stability analysis of Maruyama- and Milstein-type methods
• The composite Milstein methods for the numerical solution of Stratonovich stochastic differential equations
• Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion
• A note on the balanced method
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
• Split-step backward balanced Milstein methods for stiff stochastic systems
• The fully implicit stochastic-\(\alpha \) method for stiff stochastic differential equations
• Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
• A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
• Numerical methods for nonlinear stochastic differential equations with jumps
• B-convergence of split-step one-leg theta methods for stochastic differential equations
• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations
• Balanced Implicit Methods for Stiff Stochastic Systems
• Mean-Square and Asymptotic Stability of the Stochastic Theta Method
• Balanced Milstein Methods for Ordinary SDEs
• The composite Euler method for stiff stochastic differential equations
• Implicit Taylor methods for stiff stochastic differential equations

This page was built for publication: Implicit numerical solutions for solving stochastic differential equations with jumps