Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
نویسندگان
چکیده
منابع مشابه
Strong Convergence Rates for Backward Euler on a Class of Nonlinear Jump-Diffusion Problems∗
We generalise the current theory of optimal strong convergence rates for implicit Euler-based methods by allowing for Poisson-driven jumps in a stochastic differential equation (SDE). More precisely, we show that under one-sided Lipschitz and polynomial growth conditions on the drift coefficient and global Lipschitz conditions on the diffusion and jump coefficients, three variants of backward E...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2007
ISSN: 0377-0427
DOI: 10.1016/j.cam.2006.03.039