Publication:4351952
From MaRDI portal
zbMath0881.60057MaRDI QIDQ4351952
Publication date: 3 February 1998
93E99: Stochastic systems and control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
62L20: Stochastic approximation
60J35: Transition functions, generators and resolvents
65C99: Probabilistic methods, stochastic differential equations
Related Items
Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps, Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps, A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets, Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems, Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes, Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes, Runge-Kutta methods for jump-diffusion differential equations, The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps, Exact linearization of one-dimensional jump-diffusion stochastic differential equations, Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems, Strong approximations of stochastic differential equations with jumps, Numerical analysis of the balanced implicit methods for stochastic pantograph equations with jumps, Convergence analysis of semi-implicit Euler methods for solving stochastic age-dependent capital system with variable delays and random jump magnitudes, Implicit numerical solutions for solving stochastic differential equations with jumps, Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes, Exact simulation of the first passage time through a given level of jump diffusions, Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift, Compensated \(\theta\)-Milstein methods for stochastic differential equations with Poisson jumps, Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients, Numerical methods for nonlinear stochastic differential equations with jumps, Approximation of jump diffusions in finance and economics, Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes, The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations