The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations

DOI10.1080/07362990600958838zbMath1118.65003MaRDI QIDQ3423710

Albert Gardoń

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600958838

zbMATH Keywords

stochastic differential equation; strong discrete time approximation

Mathematics Subject Classification ID

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Runge-Kutta methods for jump-diffusion differential equations

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Time Discrete Taylor Approximations for It?? Processes with Jump Component
• Numerical Treatment of Stochastic Differential Equations
• Exact solutions and doubly efficient approximations of jump-diffusion itô equations
• Error Analysis for Approximation of Stochastic Differential Equations Driven by Poisson Random Measures