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

DOI10.1016/J.CAM.2014.08.012MaRDI QIDQ457722zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

(9)

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

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