Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps

DOI10.1239/JAP/1208358962zbMATH Open1136.60359OpenAlexW2027562041MaRDI QIDQ5459919FDOQ5459919

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

Recommendations

• Local Linear Approximations of Jump Diffusion Processes
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• An optimization approach to weak approximation of stochastic differential equations with jumps
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
• Strong approximations of stochastic differential equations with jumps

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)

Cites Work

• Financial Modelling with Jump Processes
• Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
• The Euler scheme for Lévy driven stochastic differential equations
• Strong approximations of stochastic differential equations with jumps
• Title not available (Why is that?)
• Title not available (Why is that?)
• Convergence and stability of implicit methods for jump-diffusion systems
• Numerical solution of jump-diffusion LIBOR market models
• Title not available (Why is that?)
• Applied stochastic control of jump diffusions.
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• Weak exponential schemes for stochastic differential equations with additive noise
• Time Discrete Taylor Approximations for It?? Processes with Jump Component
• Comparative study of estimation methods for continuous time stochastic processes
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
• Title not available (Why is that?)
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview

Cited In (7)

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

This page was built for publication: Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5459919)