Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
DOI10.1137/070699469zbMATH Open1190.65010OpenAlexW2058946199MaRDI QIDQ3558684FDOQ3558684
Graeme D. Chalmers, Desmond J. Higham
Publication date: 6 May 2010
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/33927e8e8944de0fdb2fbd549b42cdf03ecf523c
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numerical examplesstochastic differential equationPoisson processasymptotic stabilityjump-diffusiontheta methodtrapezoidal ruleEuler-Maruyamabackward Euler
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Stability and convergence of numerical methods for ordinary differential equations (65L20)
Cited In (22)
- Convergence and stability of the balanced methods for stochastic differential equations with jumps
- Almost sure exponential stability of numerical solutions for stochastic delay differential equations with jumps
- On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
- On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps
- Compensated stochastic theta methods for stochastic differential equations with jumps
- Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
- Stabilization of the stochastic jump diffusion systems by state-feedback control
- Numerical conservation issues for jump Pearson diffusions
- The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
- Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
- Asymptotic study for Stokes-Brinkman model with jump embedded transmission conditions
- Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
- Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps
- A family of fully implicit Milstein methods for stiff stochastic differential equations with multiplicative noise
- Stability of exponential Euler method for stochastic systems under Poisson white noise excitations
- Stability and stochastic stabilization of numerical solutions of regime-switching jump diffusion systems
- A long term analysis of stochastic theta methods for mean reverting linear process with jumps
- Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps
- Construction of positivity preserving numerical method for jump-diffusion option pricing models
- Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
- Compensated \(\theta\)-Milstein methods for stochastic differential equations with Poisson jumps
- Strong convergence and stability of backward Euler-Maruyama scheme for highly nonlinear hybrid stochastic differential delay equation
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