Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations

DOI10.1016/J.CAM.2012.08.026MaRDI QIDQ1758408zbMATH OpenOpenAlexFDO

Authors Lin Hu, Siqing Gan, Xiaojie Wang

Publication date 9 November 2012

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

Full work available at URL https://doi.org/10.1016/j.cam.2012.08.026

zbMATH Keywords

asymptotic stabilitybalanced methodlinear jump-diffusion stochastic differential equationsnumerical results

Mathematics Subject Classification ID

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)

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.

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Cited in

(14)

• Implicit numerical solutions for solving stochastic differential equations with jumps
• Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
• Numerical methods for nonlinear stochastic delay differential equations with jumps
• Convergence and stability of balanced methods for stochastic delay integro-differential equations
• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
• A class of split-step balanced methods for stiff stochastic differential equations
• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
• Strong error analysis of jump-adapted split-step backward Euler method for nonlinear jump-diffusion problems
• Convergence and non-negativity preserving of the solution of balanced method for the delay CIR model with jump
• A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis
• Compensated split-step balanced methods for nonlinear stiff SDEs with jump-diffusion and piecewise continuous arguments
• A note on the balanced method
• Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation

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