scientific article; zbMATH DE number 3784039
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Publication:3962270
zbMATH Open0497.60057MaRDI QIDQ3962270FDOQ3962270
Authors: Eckhard Platen 
Publication date: 1982
Title of this publication is not available (Why is that?)
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cited In (15)
- Un schéma multipas d'approximation de l'équation de Langevin. (A multistep approximation method for the Langevin equation)
- Strong approximations of stochastic differential equations with jumps
- A survey of numerical methods for stochastic differential equations
- Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
- Numerical solutions of stochastic differential equations driven by Poisson random measure with non-Lipschitz coefficients
- Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
- Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions
- Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
- Approximation of jump diffusions in finance and economics
- Product expansion for stochastic jump diffusions and its application to numerical approximation
- Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure
- A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
- Exact simulation of the first passage time through a given level of jump diffusions
- Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control
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