Mean-square stability of the Euler-Maruyama method for stochastic differential delay equations with jumps

作者：Tan Jianguo^*; Wang Hongli

来源：International Journal of Computer Mathematics, 2011, 88(2): 421-429.

DOI：10.1080/00207160903474206

• stochastic differential delay equations
• Poisson jumps
• Euler-Maruyama method
• MS-stability

This paper deals with the mean-square (MS) stability of the Euler-Maruyama method for stochastic differential delay equations (SDDEs) with jumps. First, the definition of the MS-stability of numerical methods for SDDEs with jumps is established, and then the sufficient condition of the MS-stability of the Euler-Maruyama method for SDDEs with jumps is derived, finally a class scalar test equation is simulated and the numerical experiments verify the results obtained from theory.

• 出版日期2011
• 单位天津工业大学; 天津大学