Jump A Milstein Methods Of Stability Analysis

Posted on:2013-01-16

Degree:Master

Type:Thesis

Country:China

Candidate:Y Hao

Full Text:PDF

GTID:2240330395450265

Subject:Computational Mathematics

Abstract/Summary:

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The implicit Milstein method is considered for Ito stochastic differential equations with Poisson driven jumps.It is shown the implicit Milstein method converges strongly with order at least1/2.For linear test equations.sufficient conditions for mean-square stability and mean-square A-stability are derived.

Keywords/Search Tags:

numerical solution of stochastic differential equation, Poisson pro-cess, Milstein method, mean-square stability, A-stability

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