Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities

DOI10.1098/RSPA.2003.1237zbMath1043.60052OpenAlexW2147563597MaRDI QIDQ3043428

Paul Glasserman, Nicolas Merener

Publication date: 6 August 2004

Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2003.1237

zbMATH Keywords

discretization schemejump diffusion processstate dependent intensity

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

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