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Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps

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  • Yan Li
  • Junhao Hu

Abstract

We investigate the convergence rate of Euler-Maruyama method for a class of stochastic partial differential delay equations driven by both Brownian motion and Poisson point processes. We discretize in space by a Galerkin method and in time by using a stochastic exponential integrator. We generalize some results of Bao et al. (2011) and Jacob et al. (2009) in finite dimensions to a class of stochastic partial differential delay equations with jumps in infinite dimensions.

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  • Yan Li & Junhao Hu, 2013. "Numerical Analysis for Stochastic Partial Differential Delay Equations with Jumps," Abstract and Applied Analysis, Hindawi, vol. 2013, pages 1-8, May.
    • Handle: RePEc:hin:jnlaaa:128625
    DOI: 10.1155/2013/128625
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    Cited by:

    1. Wolfgang J. Runggaldier, 2022. "An Italian perspective on the development of financial mathematics from 1992 to 2008," Finance and Stochastics, Springer, vol. 26(1), pages 5-31, January.

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