Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps

DOI10.1239/JAP/1208358962MaRDI QIDQ5459919zbMATHOpenAlexFDO

Authors Felix Carbonell, Juan Carlos Jimenez

Publication date 30 April 2008

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.jap/1208358962

zbMATH Keywords

numerical integrationstochastic differential equationweak convergencelocal linearizationjump diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited in

(7)

• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• Runge-Kutta methods for jump-diffusion differential equations
• Runge-Kutta Lawson schemes for stochastic differential equations
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Local Linear Approximations of Jump Diffusion Processes
• Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps
• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems

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