Picture of scraped petri dish

Scrape below the surface of Strathprints...

The Strathprints institutional repository is a digital archive of University of Strathclyde research outputs. Explore world class Open Access research by researchers at Strathclyde, a leading technological university.

Explore

Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes

Higham, D.J. and Chalmers, G.D. (2008) Convergence and stability analysis for implicit simulations of stochastic differential equations with random jump magnitudes. Discrete and Continuous Dynamical Systems - Series B, 9 (1). pp. 47-64. ISSN 1531-3492

Full text not available in this repository. (Request a copy from the Strathclyde author)

Abstract

Stochastic differential equations with Poisson driven jumps of random magnitude are popular as models in mathematical finance. Strong, or pathwise, simulation of these models is required in various settings and long time stability is desirable to control error growth. Here, we examine strong convergence and mean-square stability of a class of implicit numerical methods, proving both positive and negative results. The analysis is backed up with numerical experiments.