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SIAMSC
2008
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13 years 4 months ago
Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation
Asymptotic linear stability is studied for stochastic differential equations (SDEs) that incorporate Poisson-driven jumps and their numerical simulation using Eulertype discretisa...
Graeme D. Chalmers, Desmond J. Higham