Exact solutions and doubly efficient approximations of jump-diffusion itô equations (Q4223643)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Exact solutions and doubly efficient approximations of jump-diffusion itô equations |
scientific article; zbMATH DE number 1236130
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Exact solutions and doubly efficient approximations of jump-diffusion itô equations |
scientific article; zbMATH DE number 1236130 |
Statements
Exact solutions and doubly efficient approximations of jump-diffusion itô equations (English)
0 references
30 March 1999
0 references
Itô stochastic differential equations with jumps
0 references
jump-adapted numerical methods
0 references
accuracy
0 references
weak and mean square convergence
0 references
generator and Taylor expansions
0 references
extended CIR model
0 references
numerical simulation
0 references
0 references
0 references
0 references
0.8489910364151001
0 references
0.823644757270813
0 references
0.821688711643219
0 references
0.8203237056732178
0 references
0.8164635300636292
0 references
