Strong approximations of stochastic differential equations with jumps

DOI10.1016/j.cam.2006.03.040zbMath1121.65007OpenAlexW2053435853MaRDI QIDQ885949

Nicola Bruti-Liberati, Eckhard Platen

Publication date: 14 June 2007

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2006.03.040

zbMATH Keywords

convergencestrong convergencesimulationstochastic Taylor expansionWiener processesstochastic differential equationsjump-diffusion processesPoisson random measuresdiscrete time approximationpure jump processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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