Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps
Keyword(s):
In the present work, the tamed Euler method is proven to be strongly convergent for stochastic differential equations with piecewise continuous arguments and Poisson jumps, where the diffusion and jump coefficients are globally Lipschitz continuous, the drift coefficient is one-sided Lipschitz continuous, and its derivative demonstrates an at most polynomial growth. Moreover, the convergence rate is obtained.
2017 ◽
Vol 39
(5)
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pp. 517-536
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2019 ◽
Vol 24
(2)
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pp. 695-717
2018 ◽
Vol 340
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pp. 296-317
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2006 ◽
Vol 2006
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pp. 1-6
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2021 ◽
Vol 14
(1)
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pp. 194-218