Exact solutions and doubly efficient approximations of jump-diffusion itô equations

DOI10.1080/07362999808809579zbMath0920.60041MaRDI QIDQ4223643

Yoosef Maghsoodi

Publication date: 30 March 1999

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999808809579

zbMATH Keywords

accuracy; numerical simulation; extended CIR model; generator and Taylor expansions; Itô stochastic differential equations with jumps; jump-adapted numerical methods; weak and mean square convergence

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

65C99: Probabilistic methods, stochastic differential equations

Related Items

Local Linear Approximations of Jump Diffusion Processes, Runge-Kutta methods for jump-diffusion differential equations, Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems, Strong approximations of stochastic differential equations with jumps, Numerical methods for nonlinear stochastic differential equations with jumps, Approximation of jump diffusions in finance and economics, Convergence and stability of the balanced methods for stochastic differential equations with jumps, The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations

Cites Work

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