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math.NA2015★ 1 cited
Stability of the semi-tamed and tamed Euler schemes for stochastic differential equations with jumps under non-global Lipschitz condition
Antoine Tambue, Jean Daniel Mukam
Under non-global Lipschitz condition, Euler Explicit method fails to converge strongly to the exact solution, while Euler implicit method converges but requires much computational…
math.NA2015★ 1 cited
Stochastic Calculus with Jumps Processes : Theory and Numerical Techniques
Jean Daniel Mukam
In this work we consider a stochastic differential equation (SDEs) with jump. We prove the existence and the uniqueness of solution of this equation in the strong sense under globa…
math.NA2015★ 7 cited
Strong convergence of the tamed and the semi-tamed Euler schemes for stochastic differential equations with jumps under non-global Lipschitz condition
Antoine Tambue, Jean Daniel Mukam
We consider the explicit numerical approximations of stochastic differential equations (SDEs) driven by Brownian process and Poisson jump. It is well known that under non-global Li…