Numerical solution of stochastic differential equations with jumps in finance
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Publication:983262
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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