Convergence and stability of implicit methods for jump-diffusion systems

International Journal of Numerical Analysis and Modeling

Volumn 3, Issue 2, 2006, Pages 125-140

  Higham, Desmond J ^a   Kloeden, Peter E ^b  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b GOETHE UNIVERSITY   (Germany)

Author keywords

A stability; Backward Euler; Euler Maruyama; Linear stability; Poisson process; Stochastic differential equation; Strong convergence; Theta method; Trapezoidal rule

Indexed keywords

EID: 85013941971     PISSN: 17055105     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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