@Article{IJNAM-3-125, author = {}, title = {Convergence and Stability of Implicit Methods for Jump-Diffusion Systems}, journal = {International Journal of Numerical Analysis and Modeling}, year = {2006}, volume = {3}, number = {2}, pages = {125--140}, abstract = {

A class of implicit methods is introduced for Ito stochastic difference equations with Poisson-driven jumps. A convergence proof shows that these implicit methods share the same finite time strong convergence rate as the explicit Euler-Maruyama scheme. A mean-square linear stability analysis shows that implicitness offers benefits, and a natural analogue of mean-square A-stability is studied. Weak variants are also considered and their stability is analyzed.

}, issn = {2617-8710}, doi = {https://doi.org/}, url = {http://global-sci.org/intro/article_detail/ijnam/893.html} }