Almost sure convergence of the numerical discretization of stochastic jump diffusions

DOI10.1023/A:1006495115904MaRDI QIDQ1840680zbMATH OpenFDO

Authors Yanyan Li

Publication date 24 October 2001

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1006495115904

zbMATH Keywords

jump diffusionsStratonovich-Taylor expansion

Mathematics Subject Classification ID

Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Numerical solutions to stochastic differential and integral equations (65C30)

Review text

The paper considers discrete time approximations of Itô stochastic differential equations with jump component. Using a shuffle product expansion of exponential Lie series appropriate schemes, involving multiple Poisson integrals and multiple Wiener integrals, have been established.

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