Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps

DOI10.1016/j.spl.2004.10.038zbMath1114.60055OpenAlexW2036900342MaRDI QIDQ871042

Shujin Wu, Dong Han

Publication date: 15 March 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.038

zbMATH Keywords

convergenceEuler schemestochastic difference equationcontinuous dependence on initial valuestochastic differential equation with jumps

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (2)

Exponential stability of Euler-Maruyama solutions for impulsive stochastic differential equations with delay ⋮ Existence and uniqueness of stochastic differential equations with random impulses and Markovian switching under non-Lipschitz conditions

Cites Work

• Higher-order implicit strong numerical schemes for stochastic differential equations
• A note on asymptotic properties of the estimator derived from the Euler method for diffusion processes at discrete times
• \(p\)-moment stability of stochastic differential equations with jumps
• The Euler scheme for stochastic differential equations: Error analysis with Malliavin calculus
• Euler scheme for reflected stochastic differential equations
• Stability of weak numerical schemes for stochastic differential equations
• Stochastic differential equations. An introduction with applications.
• Euler scheme for solutions of a countable system of stochastic differential equations

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