Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations (Q1758408)
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scientific article; zbMATH DE number 6104517
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| English | Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations |
scientific article; zbMATH DE number 6104517 |
Statements
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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0.9657941
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0.9284417
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0.92637867
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0.9255872
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