scientific article; zbMATH DE number 3784039
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Publication:3962270
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
- Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions
- Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
- Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
- 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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