@Article{IJNAM-3-2,
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 = {<p style="text-align: justify;">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.</p>},
issn = {2617-8710},
doi = {https://doi.org/2006-IJNAM-893},
url = {https://global-sci.com/article/83817/convergence-and-stability-of-implicit-methods-for-jump-diffusion-systems}
}