scientific article; zbMATH DE number 3940334

MaRDI QIDQ3711409zbMATH OpenFDO

Authors Eckhard Platen

Publication date 1982

zbMATH Keywords

quasi left- continuous semi-martingalesemi-martingalesTaylor formula for solutions of stochastic equations

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited in

(12)

• Higher-order implicit strong numerical schemes for stochastic differential equations
• Short-term risk management using stochastic Taylor expansions under Lévy models
• Bivariate generalized Taylor's formula and its applications to solve FPDEs
• Approximation of jump diffusions in finance and economics
• Stratonovich and Ito Stochastic Taylor Expansions
• Stochastic Taylor series and Campbell-Hausdorff formula according to Ben Arous
• Portfolio rebalancing error with jumps and mean reversion in asset prices
• Algebraic structures and stochastic differential equations driven by Lévy processes
• Multilevel path simulation for jump-diffusion SDEs
• Strong approximations of stochastic differential equations with jumps
• A survey of numerical methods for stochastic differential equations
• Taylor expansions of solutions of stochastic partial differential equations with additive noise

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