A symptotic Stability of the Implicit Miltein Scheme for Linear Complex-valued Stochastic Jump-diffusion Equations

CHINESE JOURNAL OF COMPUTATIONAL PHYSICS ›› 1997, Vol. 14 ›› Issue (S1): 505-506.

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A symptotic Stability of the Implicit Miltein Scheme for Linear Complex-valued Stochastic Jump-diffusion Equations

Liu Xiaoqing^1,2, Li Zhenhua¹, Wu Shengchang²

1. Department of Mathematics, City University of Hong Kong 83 Tat Chee Avenue, Kowloon, Hong Kong;
2. Institute of Applied Mathematics, Academia Sinica Laboratory of Management Decisioin and Information Systems, Academia Sinica Beijing 100080

Received:1996-12-30 Revised:1997-04-29 Online:1997-12-25 Published:1997-12-25

Abstract

CLC Number:

O241.8

Liu Xiaoqing, Li Zhenhua, Wu Shengchang. A symptotic Stability of the Implicit Miltein Scheme for Linear Complex-valued Stochastic Jump-diffusion Equations[J]. CHINESE JOURNAL OF COMPUTATIONAL PHYSICS, 1997, 14(S1): 505-506.

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A symptotic Stability of the Implicit Miltein Scheme for Linear Complex-valued Stochastic Jump-diffusion Equations

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