On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps-Reference-Cited by-同舟云学术

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On the asymptotic stability and numerical analysis of solutions to nonlinear stochastic differential equations with jumps

Published:2016-08 Issue: Volume:301 Page:1-15
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Mao Wei,You Surong,Mao Xuerong

Funder

Royal Society of Edinburgh

National Natural Science Foundation of China

NSF of Higher Education Institutions of Jiangsu Province

Jiangsu Second Normal University

Jiangsu Government Overseas Study Scholarship

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference40 articles.

1. Jumps and stochastic volatility: exchange rate processes implicit in deutsche mark options;Bates;Rev. Financ. Stud.,1996

2. On jump processes in the foreign exchange and stock markets;Jorion;Rev. Financ. Stud.,1988

3. Lévy Processes and Stochastic Calculus;Applebaum,2004

4. Asymptotic stability of stochastic differential equations driven by Lévy noise;Applebaum;J. Appl. Probab.,2009

5. Stochastic stabilization of dynamical systems using Lévy noise;Applebaum;Stoch. Dyn.,2010

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