Convergence rate of numerical solutions to SFDEs with jumps

DOI10.1016/j.cam.2011.05.043zbMath1236.65005arXiv0906.3455OpenAlexW2046393253MaRDI QIDQ645694

Xuerong Mao, Björn Böttcher, Jianhai Bao, Chenggui Yuan

Publication date: 10 November 2011

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

Full work available at URL: https://arxiv.org/abs/0906.3455

zbMATH Keywords

convergenceBrownian motionPoisson processlocal Lipschitz conditionEuler-Maruyama methodstochastic functional differential equation

Mathematics Subject Classification ID

Related Items (24)

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Cites Work

• Global flows for stochastic differential equations without global Lipschitz conditions
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• The compound option approach to American options on jump-diffusions
• Introduction to functional differential equations
• Numerical methods for nonlinear stochastic differential equations with jumps
• Financial Modelling with Jump Processes
• Numerical Solutions of Stochastic Functional Differential Equations
• A Note on the Rate of Convergence of the Euler–Maruyama Method for Stochastic Differential Equations
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