scientific article; zbMATH DE number 1132858
From MaRDI portal
Publication:4383310
The stochastic equation \[ X(t)=X(0)+\int_0^tf( X(s-0)) d\Pi(s) \] with a driving Poisson process \(\Pi\) is approximated by the equations \[ X_n(t+h_n)-X_n(t) =f(X_n(t))( \Pi_n(t+h_n)-\Pi_n(t)),\qquad t\in[0,T], \] where \(\{\Pi_n\}\) is a convolution-type approximation of \(\Pi\) and \(h_n\to 0\). The approximation in \(L^1[0,T]\) of the stochastic integral \(\int_0^t[g(\Pi(s-0)+1)-g(\Pi(s-0))] d\Pi(s)\) by the sums \(\sum_{k=1}^m g'( \Pi_n( (k-1)t/m)) [\Pi_n(kt/m)-\Pi_n((k-1)t/m)]\) is also considered.
Recommendations
- On the approximation of solutions of stochastic differential equations that contain a random Poisson process
- scientific article; zbMATH DE number 892032
- Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process
- scientific article; zbMATH DE number 781204
- Stochastic integral representation of functionals of Poisson processes
- scientific article; zbMATH DE number 892076
- scientific article; zbMATH DE number 2073568
- Publication:3197083
Cited in
(13)- scientific article; zbMATH DE number 3848337 (Why is no real title available?)
- Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process
- The order 1 approximation for solutions of Itô-type stochastic differential equations with jumps
- scientific article; zbMATH DE number 5777955 (Why is no real title available?)
- On the approximation of solutions of stochastic differential equations that contain a random Poisson process
- scientific article; zbMATH DE number 3942631 (Why is no real title available?)
- scientific article; zbMATH DE number 4034804 (Why is no real title available?)
- An elementary theory of stochastic differential equations driven by a poisson process
- scientific article; zbMATH DE number 2035125 (Why is no real title available?)
- scientific article; zbMATH DE number 2073568 (Why is no real title available?)
- scientific article; zbMATH DE number 892032 (Why is no real title available?)
- The Kakutani–Hellinger affinity of processes of Itô processes driven by Poisson random measures
- Approximation durch Poissonsche Prozesse
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4383310)
