线性复值随机跳跃——扩散方程隐Miltein格式的渐近稳定性
A symptotic Stability of the Implicit Miltein Scheme for Linear Complex-valued Stochastic Jump-diffusion Equations
-
摘要: 给出了线性复值随机跳跃——扩散方程隐Miltein格式的渐近均方稳定的必要条件,并揭示了离散步长的稳定区域与格式隐性之间的关系。Abstract: The paper gives a necessary condition of asymptotic mean square stability for the implicit Milstein scheme for linear complex-valued stochastic jump-diffusion equations and shows how the stability depends on the implicitness of the scheme.