Stability of numerical methods for jump diffusions and Markovian switching jump diffusions-Reference-Cited by-同舟云学术

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

Published:2015-02 Issue: Volume:275 Page:197-212
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Yang Zhixin,Yin G.,Li Haibo

Funder

National Science Foundation

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference20 articles.

1. Stochastic Stability of Differential Equations;Khasminskii,1980

2. Stochastic Differential Equations with Markovian Switching;Mao,2006

3. Hybrid Switching Diffusions;Yin,2010

4. Numerical Solution of Stochastic Differential Equations;Kloeden,1999

5. Stochastic Numerics for Mathematical Physics;Milstein,2004

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1. New Simplified High-Order Schemes for Solving SDEs with Markovian Switching Driven by Pure Jumps;Axioms;2024-03-13

2. Finite-Time Annular Domain Stability and Stabilization of Regime-Switching Jump Diffusion System;IEEE Access;2024

3. A High Order Accurate and Effective Scheme for Solving Markovian Switching Stochastic Models;Mathematics;2021-03-10

4. Numerical solutions of SDEs with Markovian switching and jumps under non-Lipschitz conditions;Journal of Computational and Applied Mathematics;2019-11

5. Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps;Filomat;2017

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