CONVERGENCE AND STABILITY OF IMPLICIT METHODS FOR JUMP-DIFFUSION SYSTEMS

By Desmond John Higham, Peter E. Kloeden. 2005

104 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/effb14dbefec1bc3476cdd5af48904fc06fe53e9

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Citations in the corpus

• Strong approximations of stochastic differential equations with jumps (2007, methodology): “Higham and Kloeden [11,12] propose a class of implicit schemes with strong order = 0.5 for SDEs driven by Wiener processes and homogeneous Poisson processes.”
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems (2007, unknown): “© 2006 Published by Elsevier B.V.13 MSC: ; ; Keywords: Euler–Maruyama method; Implicit; Itô Lemma; One-sided Lipschitz condition; Poisson process; Stochastic differential equation;15 Strong convergence 1.”