Exact solutions and doubly efficient approximations of jump-diffusion itô equations (Q4223643): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: A state estimation algorithm for linear systems driven simultaneously by Wiener and Poisson processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A review on stochastic differential equations for applications in hydrology / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5342182 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3957726 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4004325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximations for functionals and optimal control problems on jump diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION / rank
 
Normal rank
Property / cites work
 
Property / cites work: In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time Discrete Taylor Approximations for It?? Processes with Jump Component / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Method of Second-Order Accuracy Integration of Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak Approximation of Solutions of Systems of Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theorem on the Order of Convergence of Mean-Square Approximations of Solutions of Systems of Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Solution of Ito Integral Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical Treatment of Stochastic Differential Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4166000 / rank
 
Normal rank

Latest revision as of 17:47, 28 May 2024

scientific article; zbMATH DE number 1236130
Language Label Description Also known as
English
Exact solutions and doubly efficient approximations of jump-diffusion itô equations
scientific article; zbMATH DE number 1236130

    Statements

    Exact solutions and doubly efficient approximations of jump-diffusion itô equations (English)
    0 references
    0 references
    30 March 1999
    0 references
    0 references
    Itô stochastic differential equations with jumps
    0 references
    jump-adapted numerical methods
    0 references
    accuracy
    0 references
    weak and mean square convergence
    0 references
    generator and Taylor expansions
    0 references
    extended CIR model
    0 references
    numerical simulation
    0 references
    0 references