Stability of numerical methods for jump diffusions and Markovian switching jump diffusions

DOI10.1016/J.CAM.2014.08.012zbMath1341.60076arXiv1401.4480OpenAlexW1978791973MaRDI QIDQ457722

Zhixin Yang, G. George Yin, Hai-Bo Li

Publication date: 29 September 2014

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

Full work available at URL: https://arxiv.org/abs/1401.4480

zbMATH Keywords

stabilitynumerical methodsPoisson processesMarkovian switchingjump diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

Numerical solutions of regime-switching jump diffusions ⋮ Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps ⋮ Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions

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