Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
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asymptotic stabilitybackward EulerEuler-Maruyamajump-diffusionnumerical examplesPoisson processstochastic differential equationtheta methodtrapezoidal rule
Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20)
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Cited in
(25)- Stabilization of the stochastic jump diffusion systems by state-feedback control
- Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
- A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
- Compensated -Milstein methods for stochastic differential equations with Poisson jumps
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- Asymptotic study for Stokes-Brinkman model with jump embedded transmission conditions
- Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
- Convergence and stability of the balanced methods for stochastic differential equations with jumps
- The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
- Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
- Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
- Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
- On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps
- A long term analysis of stochastic theta methods for mean reverting linear process with jumps
- Numerical conservation issues for jump Pearson diffusions
- Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
- Long-time behaviors of some stochastic differential equations driven by Lévy noise
- Strong error analysis of jump-adapted split-step backward Euler method for nonlinear jump-diffusion problems
- A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis
- Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
- Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
- Compensated stochastic theta methods for stochastic differential equations with jumps
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