Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments

DOI10.1007/s11425-019-1781-6zbMath1469.65034OpenAlexW3090113728MaRDI QIDQ829106

N. E. Zubov

Publication date: 5 May 2021

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-019-1781-6

zbMATH Keywords

strong convergencepiecewise continuous argumentjump diffusionmean-square exponential stabilitystiff stochastic differential equationcompensated split-step balanced 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)

Related Items (5)

On numerical methods to second-order singular initial value problems with additive white noise ⋮ Convergence and stability of the Milstein scheme for stochastic differential equations with piecewise continuous arguments ⋮ Unnamed Item ⋮ Split-step balanced \(\theta \)-method for SDEs with non-globally Lipschitz continuous coefficients ⋮ Strong convergence rate of the stochastic theta method for nonlinear hybrid stochastic differential equations with piecewise continuous arguments

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