Euler-Maruyama approximation for SDEs with jumps and non-Lipschitz coefficients

zbMath1288.60074MaRDI QIDQ2446407

Huijie Qiao

Publication date: 16 April 2014

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

Full work available at URL: https://projecteuclid.org/euclid.ojm/1396966224

zbMATH Keywords

Euler-Maruyama approximationstochastic differential equations with jumps

Mathematics Subject Classification ID

Related Items (16)

Strong rate of convergence for the Euler-Maruyama approximation of SDEs with Hölder continuous drift coefficient ⋮ On the averaging principle for SDEs driven by \(G\)-Brownian motion with non-Lipschitz coefficients ⋮ Convergence of nonlinear filterings for stochastic dynamical systems with Lévy noises ⋮ Path independence of the additive functionals for stochastic differential equations driven by \(G\)-Lévy processes ⋮ Nonlinear filtering of stochastic differential equations with correlated Lévy noises ⋮ Convergence of nonlinear filtering for multiscale systems with correlated Lévy noises ⋮ Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness ⋮ Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes ⋮ On the Euler-Maruyama scheme for spectrally one-sided Lévy driven SDEs with Hölder continuous coefficients ⋮ Stochastic flows of SDEs with non-Lipschitz coefficients and singular time ⋮ Strong convergence of the Euler-Maruyama approximation for a class of Lévy-driven SDEs ⋮ Euler-Maruyama approximations for stochastic McKean-Vlasov equations with non-Lipschitz coefficients ⋮ Multilevel path simulation to jump-diffusion process with superlinear drift ⋮ Limit theorems of SDEs driven by Lévy processes and application to nonlinear filtering problems ⋮ Superposition principles for the Zakai equations and the Fokker-Planck equations on measure spaces ⋮ Stability for Stochastic McKean--Vlasov Equations with Non-Lipschitz Coefficients

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• Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
• Existence of strong solutions for Itô's stochastic equations via approximations
• Numerical methods for nonlinear stochastic differential equations with jumps
• SUCCESSIVE APPROXIMATIONS OF INFINITE DIMENSIONAL SDES WITH JUMP

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