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

DOI10.1080/07362999808809579zbMATH Open0920.60041OpenAlexW1994624887MaRDI QIDQ4223643FDOQ4223643

Authors: Y. 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

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zbMATH Keywords

numerical simulationaccuracyextended CIR modelgenerator and Taylor expansionsItô stochastic differential equations with jumpsjump-adapted numerical methodsweak and mean square convergence

Mathematics Subject Classification ID

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

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• A review on stochastic differential equations for applications in hydrology
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• Approximations for functionals and optimal control problems on jump diffusion processes
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
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• In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations
• Numerical Solution of Ito Integral Equations
• A state estimation algorithm for linear systems driven simultaneously by Wiener and Poisson processes

Cited In (17)

• Convergence and stability of the balanced methods for stochastic differential equations with jumps
• Explicit solution processes for nonlinear jump-diffusion equations
• Strong approximations of stochastic differential equations with jumps
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
• Numerical solution of stochastic differential equations with jumps in finance
• Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems
• Local Linear Approximations of Jump Diffusion Processes
• Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
• The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
• Runge-Kutta methods for jump-diffusion differential equations
• A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
• The order 1 approximation for solutions of Itô-type stochastic differential equations with jumps
• Approximation of jump diffusions in finance and economics
• Numerical methods for nonlinear stochastic differential equations with jumps
• Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps
• Compensated \(\theta\)-Milstein methods for stochastic differential equations with Poisson jumps
• Exact simulation of the first passage time through a given level of jump diffusions

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