Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations (Q1758408)
From MaRDI portal
| This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations |
scientific article; zbMATH DE number 6104517
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations |
scientific article; zbMATH DE number 6104517 |
Statements
Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations (English)
0 references
9 November 2012
0 references
This paper gives some asymptotic stability results for strong and weak balanced methods when applied to scalar linear jump-diffusion stochastic differential equations. Theory and numerical results suggest that they are superior to explicit and drift-implicit methods in terms of stepsize bounds.
0 references
balanced method
0 references
asymptotic stability
0 references
linear jump-diffusion stochastic differential equations
0 references
numerical results
0 references
0.9657941
0 references
0.9284417
0 references
0.9255872
0 references
0.9175711
0 references
0.9129853
0 references
0.9121034
0 references