Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
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.
linear jump-diffusion stochastic differential equations
scientific article; zbMATH DE number 6104517
scientific article