Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations (Q1758408): Difference between revisions
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| Property / author: Xiao-Jie Wang / rank | |||
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Latest revision as of 18:49, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations |
scientific article |
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Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations (English)
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9 November 2012
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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.
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balanced method
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asymptotic stability
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linear jump-diffusion stochastic differential equations
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numerical results
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