Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes (Q933117)
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scientific article; zbMATH DE number 5302273
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| English | Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes |
scientific article; zbMATH DE number 5302273 |
Statements
Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes (English)
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21 July 2008
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The authors investigate the convergence and the stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes which are popular as models in mathematical finance, and examine strong convergence and mean-square stability of a class of implicit numerical methods, and they prove some interesting theoretical results backed up with numerical experiments.
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mean-sqare stability
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backward Euler method
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diffusion
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strong convergence
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0.8873075842857361
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0.8730403184890747
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0.8402064442634583
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0.8273277282714844
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0.8004780411720276
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