Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control (Q1713191)
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scientific article; zbMATH DE number 7006485
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| English | Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control |
scientific article; zbMATH DE number 7006485 |
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Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control (English)
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24 January 2019
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jump-diffusion SDEs
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homogeneous Poisson process
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Wiener process
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Merton's model
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adaptive step-size control
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random discretization
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0.9279374480247498
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0.8154669404029846
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0.8128209710121155
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0.79213547706604
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0.786302387714386
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