Convergence and stability of the balanced methods for stochastic differential equations with jumps

DOI10.1080/00207160.2010.521548zbMath1236.65006OpenAlexW2088490853MaRDI QIDQ3101609

Lin Hu, Si-qing Gan

Publication date: 29 November 2011

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2010.521548

zbMATH Keywords

stochastic differential equationconvergencemean-square stabilityjumpbalanced method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical solutions to stochastic differential and integral equations (65C30)

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