Journal of the Korean Society for Industrial and Applied Mathematics

Korean Society for Industrial and Applied Mathematics (한국산업응용수학회)
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EULER-MARUYAMA METHOD FOR SOME NONLINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH JUMP-DIFFUSION

  • Received : 2014.01.19
  • Accepted : 2014.02.20
  • Published : 2014.03.25
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Abstract

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.

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References

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