Product expansion for stochastic jump diffusions and its application to numerical approximation

DOI10.1016/S0377-0427(99)00095-3MaRDI QIDQ1807786zbMATHFDO

Authors Yanyan Li

Publication date 25 April 2000

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

numerical resultsmultiple stochastic integralsChen seriesmean-square convergenceproduct expansionshuffle productsexponential Lie seriesPhilip Hall basisstochastic jump diffusionsStratonovich-Taylor-Hall schemes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

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Cited in

(3)

• Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
• Local Linear Approximations of Jump Diffusion Processes
• scientific article; zbMATH DE number 4062288 (Why is no real title available?)

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