Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations

DOI10.1016/j.cam.2012.08.026zbMath1262.65011OpenAlexW2008230395MaRDI QIDQ1758408

Lin Hu, Xiao-Jie Wang, Si-qing Gan

Publication date: 9 November 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2012.08.026

zbMATH Keywords

numerical resultsasymptotic stabilitybalanced methodlinear jump-diffusion stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (8)

Numerical methods for nonlinear stochastic delay differential equations with jumps ⋮ Convergence and stability of balanced methods for stochastic delay integro-differential equations ⋮ Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments ⋮ Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation ⋮ Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems ⋮ Implicit numerical solutions for solving stochastic differential equations with jumps ⋮ Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations ⋮ Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump

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