Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps

Shujin Wu and Dong Han

Statistics & Probability Letters, 2007, vol. 77, issue 2, 211-219

Abstract: A kind of stochastic differential equations with jumps are offered first, then the Euler scheme for these equations are present, at last their continuous dependence on initial value and convergence are studied.

Keywords: Stochastic; differential; equation; with; jumps; Stochastic; difference; equation; Euler; scheme; Continuous; dependence; on; initial; value; Convergence (search for similar items in EconPapers)
Date: 2007
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