Local Linear Approximations of Jump Diffusion Processes
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Publication:5488998
DOI10.1239/jap/1143936252zbMath1099.60057OpenAlexW2049897397MaRDI QIDQ5488998
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
stochastic differential equationnumerical integrationlocal linearization methodpseudo-likelihood method
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Related Items (3)
Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise ⋮ High order local linearization methods: an approach for constructing A-stable explicit schemes for stochastic differential equations with additive noise ⋮ Numerical simulation of nonlinear dynamical systems driven by commutative noise
Cites Work
- Local linearization method for the numerical solution of stochastic differential equations
- A simple algebraic expression to evaluate the local linearization schemes for stochastic differential equations
- 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
- Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
- Estimation for nonlinear stochastic differential equations by a local linearization method1
- Exact solutions and doubly efficient approximations of jump-diffusion itô equations
- Comparative study of estimation methods for continuous time stochastic processes
- Approximation of continuous time stochastic processes by the local linearization method revisited
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