Strong approximations of stochastic differential equations with jumps (Q885949)
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scientific article; zbMATH DE number 5164887
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| English | Strong approximations of stochastic differential equations with jumps |
scientific article; zbMATH DE number 5164887 |
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Strong approximations of stochastic differential equations with jumps (English)
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14 June 2007
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Methods yielding strong approximations of stochastic differential equations (SDEs) driven by Wiener processes and Poisson random measures are surveyed. Next, significantly less complicated discrete time approximation schemes are devised for pure jump SDEs. For these equations, strong order of convergence of higher-order Taylor schemes is proved under less restrictive hypotheses than required for more general SDEs.
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jump-diffusion processes
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pure jump processes
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stochastic Taylor expansion
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discrete time approximation
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simulation
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strong convergence
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stochastic differential equations
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Wiener processes
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Poisson random measures
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convergence
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0.8823516964912415
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0.84797602891922
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0.8380087614059448
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0.8267301321029663
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