Implicit Methods for Stiff Stochastic Models with Jumps

摘要：

This paper introduces a class of implicitness numerical methods for stiff models with Poisson jumps. The order of strong convergence is given.

关键词： balanced milstein method poisson jump stiff models

作者: WANG Lasheng LI Yanwei HUANG Bin

作者单位: School of Science, Xian Polytechnic University, Xian, P.R.China, 710048 Automotive and translation, Tianjin University of Technology and Education, Tianjin, P.R.China, 3002 Department of Mathematics and Physics, Xiamen University of Technology, Xiamen, P.R.China,361024

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 541-547

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）