A long term analysis of stochastic theta methods for mean reverting linear process with jumps

DOI10.1016/J.APNUM.2022.12.011MaRDI QIDQ6101770zbMATH OpenOpenAlexFDO

Authors Raffaele D'Ambrosio, Afsaneh Moradi, Carmela Scalone

Publication date 20 June 2023

Published in Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apnum.2022.12.011

zbMATH Keywords

long term behaviorPoisson jumpstabilitystochastic theta methods

Mathematics Subject Classification ID

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

(4)

• Variable stepsize multivalue collocation methods
• Random periodic solutions of SDEs: existence, uniqueness and numerical issues
• Numerical conservation issues for jump Pearson diffusions
• A long-term analysis of two types of compensated theta methods for jump-Pearson diffusions

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