Stability of numerical methods for jump diffusions and Markovian switching jump diffusions

DOI10.1016/J.CAM.2014.08.012zbMATH Open1341.60076arXiv1401.4480OpenAlexW1978791973MaRDI QIDQ457722FDOQ457722

Authors: Zhixin Yang, G. Yin, Haibo Li 

Publication date: 29 September 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion processes does not work. Different from the existing treatments of Euler-Maurayama methods for solutions of stochastic differential equations, we use techniques from stochastic approximation. We analyze the almost sure exponential stability and exponential $p$-stability. The benchmark test model in numerical solutions, namely, one-dimensional linear scalar jump diffusion is examined first and easily verifiable conditions are presented. Then Markovian regime-switching jump diffusions are dealt with. Moreover, analysis on stability of numerical methods for linearizable and multi-dimensional jump diffusions is carried out.

Full work available at URL: https://arxiv.org/abs/1401.4480

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zbMATH Keywords

jump diffusionsstabilityPoisson processesnumerical methodsMarkovian switching

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (6)

• Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions
• Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
• Numerical solutions of regime-switching jump diffusions
• Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps
• Numerical solutions for jump-diffusions with regime switching
• Almost sure convergence of the numerical discretization of stochastic jump diffusions

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