Implicit-explicit numerical schemes for jump-diffusion processes

DOI10.1007/S10092-007-0128-XzbMath1150.65033OpenAlexW2368861806WikidataQ57776978 ScholiaQ57776978MaRDI QIDQ997571

Maya Briani, Roberto Natalini

Publication date: 7 August 2007

Published in: Calcolo (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10092-007-0128-x

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06)

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