کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4639490 1632052 2013 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Asymptotic stability of balanced methods for stochastic jump-diffusion differential equations
چکیده انگلیسی

Positive results are proved here about the ability of balanced methods to reproduce the asymptotic stability of the stochastic differential equation with jumps. Balanced methods including strong balanced methods and weak balanced methods, which possess implicitness in the diffusion term, have the potential to overcome some of the numerical instabilities that are often experienced when using the explicit methods. The paper shows that the asymptotic stability for stochastic jump-diffusion differential equations is inherited by the two kinds of balanced methods with sufficiently small stepsizes. Some numerical experiments included in the paper illustrate the theoretical results.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 238, 15 January 2013, Pages 126–143
نویسندگان
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