An optimization approach to weak approximation of stochastic differential equations with jumps (Q631923): Difference between revisions

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Latest revision as of 21:39, 3 July 2024

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An optimization approach to weak approximation of stochastic differential equations with jumps
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    An optimization approach to weak approximation of stochastic differential equations with jumps (English)
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    14 March 2011
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    Doléans-Dade stochastic exponential
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    Lévy processes
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    stochastic differential equations
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    truncated stable process
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    Ornstein-Uhlenbeck-type process
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    polynomial programming
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    weak approximation
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    numerical results
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