In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations

DOI10.1093/IMAMCI/4.1.65zbMATH Open0621.60064OpenAlexW2010704217MaRDI QIDQ3757084FDOQ3757084

Authors:

Publication date: 1987

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/4.1.65

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zbMATH Keywords

rate of convergencenumerical solution of a wide class of Itô stochastic differential equationsstochastic Cauchy-Euler schemestochastic truncation errors

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (9)

• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Implicit numerical solutions for solving stochastic differential equations with jumps
• Strong approximations of stochastic differential equations with jumps
• Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• Runge-Kutta methods for jump-diffusion differential equations
• Exact solutions and doubly efficient approximations of jump-diffusion itô equations
• Approximation of jump diffusions in finance and economics
• Product expansion for stochastic jump diffusions and its application to numerical approximation

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