[PDF] Top 20 Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
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Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
... the stability of SDEs with Poisson random measure, only limited results have been presented in currently known ...asymptotic stability of linear SDEs with Poisson random ... See full document
17
Convergence and stability of the exponential Euler method for semi linear stochastic delay differential equations
... Most stochastic dif- ferential equations (SDEs) are nonlinear and cannot be solved explicitly, whence numerical solutions are required in ...exponential stability in the numerical sim- ulation of ... See full document
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Equivalence of the mean square stability between the partially truncated Euler–Maruyama method and stochastic differential equations with super linear growing coefficients
... square stability between different types of SDEs and their numerical ...the stochastic differential delay equations (SDDEs) and the Euler– Maruyama (EM) ...with Poisson jump and Markov ... See full document
15
Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients
... strong convergence theorem under condition ...consider implicit schemes. These authors have demonstrated that a backward Euler-Maruyama (BEM) method strongly converges to the solution of the ... See full document
21
Stability of stochastic differential equations in infinite dimensions
... to stochastic differential equations with Markovian ...the stability property of stochastic differential equations has always lain at the center of our understanding ... See full document
203
Almost sure stability of the Euler-Maruyama method with random variable stepsize for stochastic differential equations
... the Euler–Maruyama method with random variable stepsize and successfully reproduce the almost sure stability of the true solution using this method with the semimartingale ... See full document
24
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 ...-Milstein method ... See full document
34
An averaging principle for neutral stochastic functional differential equations driven by Poisson random measure
... averaging method for a class of SDDEs with constant ...the convergence be- tween the standard form and the averaged form of ...the convergence results [, , , ] to the case of stochastic ... See full document
18
Convergence rate and stability of the truncated Euler-Maruyama method for stochastic differential equations
... be arbitrarily close to q / 2 under some additional conditions. However, there are some restrictions on the truncation functions and these restrictions sometimes might force the step size to be so small that the ... See full document
16
Exponential stability of the Euler-Maruyama method for neutral stochastic functional differential equations with jumps
... with 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
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
19
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 implicit schemes for numerical approximations of SDEs with non-globally ... See full document
21
Mean Square Numerical Methods for Initial Value Random Differential Equations
... Random differential equations (RDE) are defined as dif- ferential equations involving random ...following random differential initial value problem (RIVP) of the form: ... See full document
19
Stability of numerical method for semi linear stochastic pantograph differential equations
... of stability are somewhat restrictive as applied to prac- tical ...exponential Euler method applied to the system for any step-size h > ...exponential Euler method for semi-linear ... See full document
11
Almost sure and moment exponential stability of Euler-Maruyama discretizations for hybrid stochastic differential equations
... small moment exponential stability. In the general nonlinear case for (non-hybrid) SDEs it is known that the EM method cannot guarantee to preserve exponential mean-square stability, even for ... See full document
21
Analysis on exponential stability of hybrid pantograph stochastic differential equations with highly nonlinear coefficients
... on stability and boundedness have received a great deal of ...robust stability of linear delay ...robust stochastic stability of a linear system. In [27], robust stability of uncertain ... See full document
16
Almost sure exponential stability of the Euler–Maruyama approximations for stochastic functional differential equations
... Stochastic differential equations (SDEs) and their stability have been used with great success in a variety of applications areas, including biology, epidemiology, mechanics, neural networks, ... See full document
22
Almost sure exponential stability of an explicit stochastic orthogonal Runge Kutta Chebyshev method for stochastic delay differential equations
... For the purpose of stability, we assume that f (, ) = g(, ) = , which implies that (.) admits the equilibrium solution y(t) = corresponding to the initial condition ψ (t) = for t ∈ [–τ , ]. As a ... See full document
8
Revisiting variance gamma pricing : an application to S&P500 index options
... We reformulate the Lévy-Kintchine formula to make it suitable for modelling the stochastic time-changing effects of Lévy processes. Using Variance-Gamma (VG) process as an example, it illustrates the dynamic ... See full document
39
Random Crank Nicolson Scheme for Random Heat Equation in Mean Square Sense
... son technique under mean square sense and it is organized as follows. In Section 2, the mean square calculus preliminaries that will be required throughout the paper are presented. In Section 3, the Crank-Nicolson scheme ... See full document
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