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

• Autores: Zhixin Yang, G. Yin, Haibo Li
• Localización: Journal of computational and applied mathematics, ISSN 0377-0427, Vol. 275, Nº 1, 2015, págs. 197-212
• Idioma: inglés
• DOI: 10.1016/j.cam.2014.08.012
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• Resumen

  • This work focuses on stability analysis of numerical solutions to jump diffusions and jump diffusions with Markovian switching. Due to the use of Poisson processes, using asymptotic expansions as in the usual approach of treating diffusion processes does not work. Different from the existing treatments of Euler�Maruyama methods for solutions of stochastic differential equations, we use techniques from stochastic approximation. We analyze the almost sure exponential stability and exponential p-stability. The benchmark test model in numerical solutions, namely, one-dimensional linear scalar jump diffusion is examined first and easily verifiable conditions are presented. Then Markovian regime-switching jump diffusions are dealt with. Moreover, analysis of stability of numerical methods for linearizable and multi-dimensional jump diffusions is carried out.