The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
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Publication:3423710
DOI10.1080/07362990600958838zbMath1118.65003MaRDI QIDQ3423710
Publication date: 15 February 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990600958838
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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Cites Work
- The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
- Time Discrete Taylor Approximations for It?? Processes with Jump Component
- Numerical Treatment of Stochastic Differential Equations
- Exact solutions and doubly efficient approximations of jump-diffusion itô equations
- Error Analysis for Approximation of Stochastic Differential Equations Driven by Poisson Random Measures
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