Compensated stochastic theta methods for stochastic differential delay equations with jumps

DOI10.1080/00207160.2012.745517zbMath1281.65013OpenAlexW1969638779MaRDI QIDQ2855739

Qiyong Li, Xiao-Jie Wang, Si-qing Gan

Publication date: 22 October 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.745517

zbMATH Keywords

Wiener processnumerical experimentsPoisson processP-stabilitymean-square stabilityPoisson jumpsstochastic differential delay equationsstochastic theta methodscompensated stochastic theta methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Convergence and stability of split-step θ methods for stochastic variable delay differential equations ⋮ Exponential mean-square stability of the θ-method for neutral stochastic delay differential equations with jumps ⋮ Mean-square stability of the backward Euler-Maruyama method for neutral stochastic delay differential equations with jumps ⋮ Exponential stability of the split-step \(\theta \)-method for neutral stochastic delay differential equations with jumps ⋮ Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump

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