Error Analysis for Approximation of Stochastic Differential Equations Driven by Poisson Random Measures

DOI10.1137/S0036142999360275MaRDI QIDQ4539416zbMATH OpenWikidataFDO

Authors Erika Hausenblas

Publication date 8 July 2002

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0036142999360275

zbMATH Keywords

Euler schemeMalliavin calculusstable processstochastic differential equation

Mathematics Subject Classification ID

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) Monte Carlo methods (65C05)

Cited in

(8)

• Domain decomposition methods for linear and semilinear elliptic stochastic partial differential equations
• 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
• Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
• Weak error for stable driven stochastic differential equations: expansion of the densities
• A distributed-order fractional stochastic differential equation driven by Lévy noise: existence, uniqueness, and a fast EM scheme
• Erratum to ``Monte Carlo simulation in the stochastic analysis of non-linear systems under external stationary Poisson white noise input
• Finite element method and discontinuous Galerkin method for stochastic scattering problem of Helmholtz type in \(\mathbb R^{d} (d =2, 3)\)

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