New representations of explicit one-step numerical methods for jump-diffusion stochastic differential equations

zbMATH Open1025.60033MaRDI QIDQ1395293FDOQ1395293

Authors: D. F. Kuznetsov 

Publication date: 1 July 2003

Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

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zbMATH Keywords

Poisson processapproximationexpansionnumerical methodjump-diffusion stochastic differential equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60)

Cited In (7)

• Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs
• Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
• Title not available (Why is that?)
• On numerical modeling of the multidimensional dynamic systems under random perturbations with the 1.5 and 2.0 orders of strong convergence
• A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs

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