Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
DOI10.1016/j.cam.2012.08.026zbMath1262.65011OpenAlexW2008230395MaRDI QIDQ1758408
Lin Hu, Xiao-Jie Wang, Si-qing Gan
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
numerical resultsasymptotic stabilitybalanced methodlinear jump-diffusion stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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