Local Linear Approximations of Jump Diffusion Processes

DOI10.1239/jap/1143936252zbMath1099.60057OpenAlexW2049897397MaRDI QIDQ5488998

J. C. Jimenez, F. 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

stochastic differential equationnumerical integrationlocal linearization methodpseudo-likelihood method

Mathematics Subject Classification ID

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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