Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients

DOI10.1155/2012/675781zbMath1251.65006OpenAlexW2150582039WikidataQ58907121 ScholiaQ58907121MaRDI QIDQ1760797

Minghui Song, Hui Yu

Publication date: 15 November 2012

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/675781

zbMATH Keywords

Poisson random measurenon-Lipschitz coefficients

Mathematics Subject Classification ID

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

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Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps ⋮ Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients ⋮ Mean reflected stochastic differential equations with jumps

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