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

DOI10.1016/S0377-0427(99)00095-3zbMATH Open0934.65006MaRDI QIDQ1807786FDOQ1807786

Authors: Yanyan Li 

Publication date: 25 April 2000

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

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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)

Cites Work

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Cited In (3)

• Local Linear Approximations of Jump Diffusion Processes
• Title not available (Why is that?)
• Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market

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