[PDF] Top 20 Convergence and stability of the compensated split step θ method for stochastic differential equations with jumps
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Convergence and stability of the compensated split step θ method for stochastic differential equations with jumps
... Recently, stochastic differential equations with jumps (SDEwJs) are becoming increas- ingly used to model real-world phenomena in different fields, such as economics, finance, biology, and ...the ... See full document
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Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation
... 12 4 5 6 7 8 9 10 13 14 15 16 17 Convergence analysis of the EM approximate solutions In this section, we will study the convergence of the EM approximate solutions for hybrid SDEs with [r] ... See full document
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Existence, uniqueness and stability results for impulsive stochastic functional differential equations with infinite delay and poisson jumps
... Stochastic differential equations have been investigated as mathematical models to describe the dynamical behavior of a real life ...of stochastic differential equa- tions has attracted ... See full document
7
On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps
... and stability of solution for SDEs under the local Lipschitz ...of stochastic differential delay equations (SDDEs) and obtain the almost sure asymptotic stability of solution to ...asymptotic ... See full document
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Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
... larger step size t = , there is observable instability of the Euler method and drift-implicit Euler method while the implicit compensated Euler method remains stable for ...Euler ... See full document
17
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
... strong convergence results for one-sided Lipschitz and the linear growth condition on drift and diffusion coefficients, ...the split-step scheme introduced in their ...the stability properties ... See full document
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Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
... strong convergence results for one-sided Lipschitz and the linear growth condition on drift and diffusion coefficients, ...the split-step scheme introduced in their ...the stability properties ... See full document
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Analysis of stability for stochastic delay integro differential equations
... to stochastic delay integro-differential ...the stability of the semi-implicit Euler method for linear stochastic delay integro-differential ...mean-square stability of the Milstein ... See full document
13
Exponential stability of the Euler-Maruyama method for neutral stochastic functional differential equations with jumps
... Poisson jumps are an important type of stochastic system model, and their stability analysis has attracted considerable attention in recent ...most stochastic systems cannot be solved ... See full document
16
Numerical solution of stochastic state dependent delay differential equations: convergence and stability
... strong convergence and the mean-square stability of the split-step backward Euler method to linear SDDEs with constant lag and took the stepsize as a multiplier of ...semi-implicit ... See full document
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Strong convergence of the split step θ method for stochastic age dependent capital system with Poisson jumps and fractional Brownian motion
... years, stochastic age-dependent capital systems have become increasingly important mathematical tools to portray many financial phenomena in the real ...most stochastic age-dependent capital systems cannot ... See full document
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Convergence of the compensated split step θ method for nonlinear jump diffusion systems
... Most of the studies concerned with numerical analysis for stochastic differential equa- tions with jumps (SDEwJs) are based on the assumption of globally Lipschitz continuous coefficients, for example, [–]. ... See full document
20
Weak order in averaging principle for stochastic differential equations with jumps
... jump-diffusion stochastic differential ...weak convergence in stochastic averaging theory of systems driven by jump noise is not fully developed yet, although some strong approx- imation results on the ... See full document
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A nonlinear computational method for the solution of initial value problems for ordinary differential equations
... one- step numerical scheme that can solve some of these ...proposed method compares very well with other known ...the method is examined in terms of consistency, stability and ...Absolute ... See full document
6
The truncated Milstein method for stochastic differential equations with commutative noise
... strong convergence of numerical methods, the property of the strong convergence could also be used to improve the convergence rate of estimating the expectation of some random variable by using the ... See full document
13
Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations
... strong convergence for a numerical solution to the true solution over a finite time interval (see, ...the convergence rates over the time interval [0, T ... See full document
19
Analysis of the stability and convergence of a finite difference approximation for stochastic partial differential equations
... finite difference scheme (2.6) the increments of Wiener process are independent of the state u n k . Essentially, it is important for the solution of stochastic difference scheme to converge to the solution of the ... See full document
25
Stability of numerical method for semi linear stochastic pantograph differential equations
... of stochastic systems, the stability analysis caused much more attention ...of stochastic differential equations themselves, it is difficult for us to get an- alytical solution of ... See full document
11
STABILITY AND CONVERGENCE FOR NONLINEAR PARTIAL DIFFERENTIAL EQUATIONS
... parabolic differential equations. We discretize the partial differential equations in the spatial variable and obtain systems of ordinary differential equations, which we then ... See full document
49
Successive approximation of solutions to doubly perturbed stochastic differential equations with jumps
... | b ( t, x ) − b ( t, y )| ≤ ρ (| x − y |) . (1.5) From the analysis of Section 5, the coefficients of equation (1.3) do not satisfy the global Lip- schitz condition [8] or non-Lipschitz condition [9, 10]. In other ... See full document
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