Error Analysis for Approximation of Stochastic Differential Equations Driven by Poisson Random Measures
DOI10.1137/S0036142999360275zbMATH Open1011.60033WikidataQ59225738 ScholiaQ59225738MaRDI QIDQ4539416FDOQ4539416
Authors: Erika Hausenblas 
Publication date: 8 July 2002
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cited In (8)
- A distributed-order fractional stochastic differential equation driven by Lévy noise: existence, uniqueness, and a fast EM scheme
- Domain decomposition methods for linear and semilinear elliptic stochastic partial differential equations
- Erratum to ``Monte Carlo simulation in the stochastic analysis of non-linear systems under external stationary Poisson white noise input
- Convergence of moments of tau leaping schemes for unbounded Markov processes on integer lattices
- The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
- Finite element method and discontinuous Galerkin method for stochastic scattering problem of Helmholtz type in \(\mathbb R^{d} (d =2, 3)\)
- Weak error for stable driven stochastic differential equations: expansion of the densities
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
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