Local Linear Approximations of Jump Diffusion Processes

DOI10.1239/JAP/1143936252MaRDI QIDQ5488998zbMATH OpenOpenAlexFDO

Authors Juan Carlos Jimenez, Felix Carbonell

Publication date 25 September 2006

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

Full work available at URL https://projecteuclid.org/euclid.jap/1143936252

zbMATH Keywords

local linearization methodnumerical integrationpseudo-likelihood methodstochastic differential equation

Mathematics Subject Classification ID

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

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• Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps
• On local linear approximations to diffusion processes
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Cites work

• A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
• Approximation of continuous time stochastic processes by the local linearization method revisited
• Comparative study of estimation methods for continuous time stochastic processes
• Estimation for nonlinear stochastic differential equations by a local linearization method¹
• Exact solutions and doubly efficient approximations of jump-diffusion itô equations
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 775841 (Why is no real title available?)
• scientific article; zbMATH DE number 1432782 (Why is no real title available?)
• Local linearization method for the numerical solution of stochastic differential equations
• Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
• Numerical analysis of stochastic differential equations without tears
• Product expansion for stochastic jump diffusions and its application to numerical approximation
• Simulation of stochastic differential equations through the local linearization method. A comparative study
• Time Discrete Taylor Approximations for It?? Processes with Jump Component

Cited in

(8)

• High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise
• Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
• Numerical simulation of nonlinear dynamical systems driven by commutative noise
• Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise
• Local M-estimation for jump-diffusion processes
• Local Linear Estimation of Recurrent Jump—Diffusion Models
• Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps
• Stochastic analysis of an economic growth model incorporating Itô-Lévy driven investment, optimal control and numerical simulation

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