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The truncated EM method for stochastic differential equations with Poisson jumps · Study

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ArticleThe truncated EM method for stochastic differential equations with Poisson jumps

Shounian Deng2019

OA

Articlebronze2019

The truncated EM method for stochastic differential equations with Poisson jumps

Shounian Deng · Weiyin Fei · Wei Liu · Xuerong Mao

44 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Numerical methods for differential equations

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References

2016Numerical solution of stochastic differential equations 2008Stochastic differential equations and applications 2010Numerical Solution of Stochastic Differential Equations with Jumps in Finance 2012Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients 2007Modeling with Itô Stochastic Differential Equations 2014Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients 2013A note on tamed Euler approximations 2011Stochastic ordinary differential equations in applied and computational mathematics

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Year2019

Typearticle

Published2019-02-10

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations44

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2019.01.020

openalex_workW2806513737

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