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

MaRDI QIDQ1395293zbMATH OpenFDO

Authors D. F. Kuznetsov

Publication date 1 July 2003

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

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)

Recommendations

• Numerical analysis for jump-diffusion stochastic differential equations
• scientific article; zbMATH DE number 6830743
• Almost sure convergence of the numerical discretization of stochastic jump diffusions
• Strong approximations of stochastic differential equations with jumps
• scientific article; zbMATH DE number 1239951

Cited in

(7)

• 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
• Development and application of the Fourier method for the numerical solution of Ito stochastic differential equations
• Expansion of iterated Stratonovich stochastic integrals based on generalized multiple Fourier series
• scientific article; zbMATH DE number 7318972 (Why is no real title available?)
• 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
• 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

This page was built for publication: New representations of explicit one-step numerical methods for jump-diffusion stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1395293)