Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
type: Item
instance of: scholarly article
title: Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
zbMATH Open document ID: 1262.65011
author: Lin Hu
author: Siqing Gan
author: Xiaojie Wang
published in: Journal of Computational and Applied Mathematics
publication date: 2012-11-09T00:00:00Z
review text: 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.
reviewed by: Kevin Burrage
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65L20
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
zbMATH DE Number: 6104517
zbMATH Keywords: balanced method
zbMATH Keywords: asymptotic stability
zbMATH Keywords: linear jump-diffusion stochastic differential equations
zbMATH Keywords: numerical results
MaRDI profile type: Publication
full work available at URL: j.cam.2012.08.026
OpenAlex ID: W2008230395
DOI: 10.1016/J.CAM.2012.08.026
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description: scientific article; zbMATH DE number 6104517