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Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure

โœ Scribed by Minghui Song, Hui Yu


Book ID
120735838
Publisher
Springer International Publishing AG
Year
2012
Tongue
English
Weight
318 KB
Volume
2012
Category
Article
ISSN
1687-1839

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Convergence analysis of semi-implicit Eu
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In this paper, we study the following stochastic equations with variable delays and random jump magnitudes: We establish the semi-implicit Euler approximate solutions for the above systems and prove that the approximate solutions converge to the analytical solutions in the meansquare sense as well