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Convergence and stability of the compensated split-step theta method for stochastic differential equations with piecewise continuous arguments driven by Poisson random measure.

Yulan LuMinghui SongMingzhu Liu
Published in: J. Comput. Appl. Math. (2018)
Keyphrases
  • similarity measure
  • dynamic programming
  • probabilistic model
  • closed form
  • pairwise
  • cost function
  • objective function
  • markov chain
  • parameter estimation
  • mathematical model