Numerical solution of stochastic differential equations with jumps in finance
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Publication:983262
DOI10.1007/978-3-642-13694-8zbMATH Open1225.60004OpenAlexW1503185336MaRDI QIDQ983262FDOQ983262
Eckhard Platen, Nicola Bruti-Liberati
Publication date: 4 August 2010
Published in: Stochastic Modelling and Applied Probability (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/20293
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stochastic differential equationsjump processesnumerical solutionsstrong and weak approximationsapplications in financediscrete time approximations
Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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