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

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.