The truncated Euler–Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise
DOI10.1080/00207160.2020.1748187zbMath1480.65024OpenAlexW3013982737MaRDI QIDQ5031226
Publication date: 18 February 2022
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2020.1748187
stochastic differential equationconvergence ratelocal Lipschitz conditionKhasminskii-type conditiontruncated Euler-Maruyama method
Numerical methods for initial value problems involving ordinary differential equations (65L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)
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