New representations of explicit one-step numerical methods for jump-diffusion stochastic differential equations (Q1395293)
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| Language | Label | Description | Also known as |
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| English | New representations of explicit one-step numerical methods for jump-diffusion stochastic differential equations |
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New representations of explicit one-step numerical methods for jump-diffusion stochastic differential equations (English)
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1 July 2003
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This paper is devoted to numerical integration methods for jump-diffusion stochastic differential equations (SDEs). The numerical methods are constructed by using a special time discretization adapted to the jumps in a Poisson process, which makes it possible to separate the numerical models of diffusion and jump components in solutions to jump-diffusion SDEs.
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jump-diffusion stochastic differential equations
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numerical method
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Poisson process
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approximation
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expansion
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