Exact solutions and doubly efficient approximations of jump-diffusion itô equations
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Publication:4223643
DOI10.1080/07362999808809579zbMath0920.60041OpenAlexW1994624887MaRDI QIDQ4223643
Publication date: 30 March 1999
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362999808809579
accuracynumerical simulationextended CIR modelgenerator and Taylor expansionsItô stochastic differential equations with jumpsjump-adapted numerical methodsweak and mean square convergence
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)
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