Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps

We study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are investigated under the generalized Khasminskii-type condition.

Detalles Bibliográficos
Autores principales: Gao, Shuaibin, Hu, Junhao, Tan, Li, Yuan, Chenggui
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Higher Education Press 2021
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8042460/
https://www.ncbi.nlm.nih.gov/pubmed/33868393
http://dx.doi.org/10.1007/s11464-021-0914-9
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author Gao, Shuaibin
Hu, Junhao
Tan, Li
Yuan, Chenggui
author_facet Gao, Shuaibin
Hu, Junhao
Tan, Li
Yuan, Chenggui
author_sort Gao, Shuaibin
collection PubMed
description We study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are investigated under the generalized Khasminskii-type condition.
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spelling pubmed-80424602021-04-13 Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps Gao, Shuaibin Hu, Junhao Tan, Li Yuan, Chenggui Front Math China Research Article We study a class of super-linear stochastic differential delay equations with Poisson jumps (SDDEwPJs). The convergence and rate of the convergence of the truncated Euler-Maruyama numerical solutions to SDDEwPJs are investigated under the generalized Khasminskii-type condition. Higher Education Press 2021-04-13 2021 /pmc/articles/PMC8042460/ /pubmed/33868393 http://dx.doi.org/10.1007/s11464-021-0914-9 Text en © Higher Education Press 2021 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Research Article
Gao, Shuaibin
Hu, Junhao
Tan, Li
Yuan, Chenggui
Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
title Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
title_full Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
title_fullStr Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
title_full_unstemmed Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
title_short Strong convergence rate of truncated Euler-Maruyama method for stochastic differential delay equations with Poisson jumps
title_sort strong convergence rate of truncated euler-maruyama method for stochastic differential delay equations with poisson jumps
topic Research Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8042460/
https://www.ncbi.nlm.nih.gov/pubmed/33868393
http://dx.doi.org/10.1007/s11464-021-0914-9
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AT hujunhao strongconvergencerateoftruncatedeulermaruyamamethodforstochasticdifferentialdelayequationswithpoissonjumps
AT tanli strongconvergencerateoftruncatedeulermaruyamamethodforstochasticdifferentialdelayequationswithpoissonjumps
AT yuanchenggui strongconvergencerateoftruncatedeulermaruyamamethodforstochasticdifferentialdelayequationswithpoissonjumps

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