Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps

DOI10.1239/JAP/1208358962MaRDI QIDQ5459919zbMATH OpenOpenAlexFDO

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

jump diffusion processlocal linearizationnumerical integrationstochastic differential equationweak convergence

Mathematics Subject Classification ID

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

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

Cites work

• An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data
• Applied stochastic control of jump diffusions.
• Comparative study of estimation methods for continuous time stochastic processes
• Convergence and stability of implicit methods for jump-diffusion systems
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 4106658 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• scientific article; zbMATH DE number 775841 (Why is no real title available?)
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
• Local linearization filters for non-linear continuous-discrete state space models with multiplicative noise
• Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
• Numerical solution of jump-diffusion LIBOR market models
• Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
• Strong approximations of stochastic differential equations with jumps
• The Euler scheme for Lévy driven stochastic differential equations
• Time Discrete Taylor Approximations for It?? Processes with Jump Component
• Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
• Weak exponential schemes for stochastic differential equations with additive noise
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes

Cited in

(8)

• Runge-Kutta Lawson schemes for stochastic differential equations
• Weak local linear discretizations for stochastic differential equations: convergence and numerical schemes
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise
• 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
• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems
• Runge-Kutta methods for jump-diffusion differential equations
• A new first order numerical scheme for nonlinear jump-diffusion problems and its strong convergence analysis

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)