On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

DOI10.1137/151004872zbMath1401.65014arXiv1403.0498OpenAlexW1545518728MaRDI QIDQ2814459

Sotirios Sabanis, Chaman Kumar, Konstantinos Anastasios Dareiotis

Publication date: 22 June 2016

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.0498

zbMATH Keywords

rate of convergencedelay equationslocal Lipschitz conditionsuperlinear growthexplicit Euler approximationsSDEs driven by Lévy noise

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)

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