The truncated EM method for stochastic differential equations with Poisson jumps

Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

Martin Hutzenthaler, Arnulf Jentzen, Peter E. Kloeden · The Annals of Applied Probability · 2012 · 439 citations · Full text

Engineering, Computational Engineering, Differential Equations +14

The truncated Euler–Maruyama method for stochastic differential equations

Xuerong Mao · Journal of Computational and Applied Mathematics · 2015 · 285 citations · Full text

Natural Sciences, Mathematics, Differential Equations +9

Numerical methods for nonlinear stochastic differential equations with jumps

Desmond J. Higham, Peter E. Kloeden · Numerische Mathematik · 2005 · 238 citations

Natural Sciences, Physics, Stochastic Modeling +12

A note on tamed Euler approximations

Sotirios Sabanis · Electronic Communications in Probability · 2013 · 191 citations · Full text

Engineering, Mathematics, Differential Equations +14

Convergence rates of the truncated Euler–Maruyama method for stochastic differential equations

Xuerong Mao · Journal of Computational and Applied Mathematics · 2015 · 156 citations · Full text

Natural Sciences, Mathematics, Differential Equations +15