Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems

DOI10.4208/jcm.2206-m2021-0354OpenAlexW4361800536MaRDI QIDQ6191885

Xu Yang, Weidong Zhao

Publication date: 12 February 2024

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

Full work available at URL: https://doi.org/10.4208/jcm.2206-m2021-0354

zbMATH Keywords

jump-diffusionPoisson jumpsnon-Lipschitz coefficientsstrong convergence ratejump-adapted implicit Milstein method

Mathematics Subject Classification ID

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

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