The Stability of Jump-Diffusion Model

摘要：

　　In this paper, we study the stability of jump-diffusion model, the exchange rate and their generalizations for the case of Poisson jump are studied.Then a equivalent condition of mean-square stability for semi-implicit Euler method are obtained.

关键词： exchange rate Poisson jumps the stochastic stability

作者: Wang Lasheng Li Yanwei Huang bin

作者单位: Department of Mathematics and Physics,Xiamen University of Technology,Xiamen,361024,P.R.China School of Science,Xi”an Polytechnic University,Xi”an 710048,P.R.China Automotive and translation,Tianjin University of Technology and Education,Tianjin,300222,P.R.China

会议类型: 国内会议

会议名称: 中国数学力学物理学高新技术交叉研究学会第十三届学术年会

会议地点: 敦煌

会议语种:英文

页码: 764-772

在线出版日期: 2010-08-01（万方平台首次上网日期，不代表论文的发表时间）