Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities

DOI10.1098/rspa.2003.1237zbMath1043.60052OpenAlexW2147563597MaRDI QIDQ3043428

Paul Glasserman, Nicolas Merener

Publication date: 6 August 2004

Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2003.1237

zbMATH Keywords

discretization schemejump diffusion processstate dependent intensity

Mathematics Subject Classification ID

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