𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Numerical methods for a class of jump–diffusion systems with random magnitudes

✍ Scribed by Feng Jiang; Yi Shen; Lei Liu


Book ID
108097078
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
262 KB
Volume
16
Category
Article
ISSN
1007-5704

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Convergence analysis of semi-implicit Eu
✍ Mao Wei 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 260 KB

In this paper, we study the following stochastic equations with variable delays and random jump magnitudes: We establish the semi-implicit Euler approximate solutions for the above systems and prove that the approximate solutions converge to the analytical solutions in the meansquare sense as well

Exponential stability of numerical solut
✍ Qi-min Zhang; Wan-kai Pang; Ping-kei Leung 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 367 KB

Recently, numerical solutions of stochastic differential equations have received a great deal of attention. Numerical approximation schemes are invaluable tools for exploring their properties. In this paper, we introduce a class of stochastic age-dependent (vintage) capital system with Poisson jumps