Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

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DOI10.1016/j.cam.2006.03.039zbMath1128.65007OpenAlexW2129849411MaRDI QIDQ885946

Desmond J. Higham, Peter E. Kloeden

Publication date: 14 June 2007

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

Full work available at URL: https://doi.org/10.1016/j.cam.2006.03.039

zbMATH Keywords

stochastic differential equation convergence Poisson process one-sided Lipschitz condition Ito lemma implicit Euler-Maruyama methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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