Exact solutions and doubly efficient approximations of jump-diffusion itô equations (Q4223643)
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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)
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30 March 1999
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Itô stochastic differential equations with jumps
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jump-adapted numerical methods
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accuracy
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weak and mean square convergence
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generator and Taylor expansions
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extended CIR model
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numerical simulation
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