EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION

Hamdy M. Ahmed
2014 Journal of the Korea Society for Industrial and Applied Mathematics  
In this paper we discussed Euler-Maruyama method for stochastic differential equations with jump diffusion. We give a convergence result for Euler-Maruyama where the coefficients of the stochastic differential equation are locally Lipschitz and the pth moments of the exact and numerical solution are bounded for some p > 2.
doi:10.12941/jksiam.2014.18.043 fatcat:jzivm2v6lrad5ff3elgvnq54de