In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations (Q3757084)
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scientific article; zbMATH DE number 4007376
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| English | In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations |
scientific article; zbMATH DE number 4007376 |
Statements
In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations (English)
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1987
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numerical solution of a wide class of Itô stochastic differential equations
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stochastic truncation errors
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stochastic Cauchy-Euler scheme
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rate of convergence
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0.91263705
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0.9011439
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0.8986622
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0.89800847
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0.8961742
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0.89549583
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