Adaptive Weak Approximation of Diffusions with Jumps

DOI10.1137/060669632zbMath1169.65302arXivmath/0609186OpenAlexW2056380017MaRDI QIDQ3395069

Ernesto Mordecki, Raúl Tempone, Anders Szepessy, Georgios E. Zouraris

Publication date: 20 August 2009

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0609186

zbMATH Keywords

weak approximationa posteriori error estimateserror controldiffusions with jumpsbackward dual functionsEuler-maruyama method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Complexity and performance of numerical algorithms (65Y20) Mesh generation, refinement, and adaptive methods for ordinary differential equations (65L50)

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