Compensated stochastic theta methods for stochastic differential equations with jumps
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Publication:987597
DOI10.1016/j.apnum.2010.04.012zbMath1198.65034OpenAlexW2089539503MaRDI QIDQ987597
Publication date: 13 August 2010
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2010.04.012
strong convergenceA-stabilityjump-diffusioncompensated Poisson processB-stabilitystochastic theta methodsexponential mean-square stability
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Uses Software
Cites Work
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Numerical methods for nonlinear stochastic differential equations with jumps
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Numerical methods for strong solutions of stochastic differential equations: an overview
- Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
- Mean-Square and Asymptotic Stability of the Stochastic Theta Method
- Exponential Mean-Square Stability of Numerical Solutions to Stochastic Differential Equations
- Stability Analysis of Numerical Schemes for Stochastic Differential Equations
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