Exact solutions and doubly efficient approximations of jump-diffusion itô equations (Q4223643)

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scientific article; zbMATH DE number 1236130
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Exact solutions and doubly efficient approximations of jump-diffusion itô equations
scientific article; zbMATH DE number 1236130

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    Exact solutions and doubly efficient approximations of jump-diffusion itô equations (English)
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    30 March 1999
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    Itô stochastic differential equations with jumps
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    jump-adapted numerical methods
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    accuracy
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    weak and mean square convergence
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    generator and Taylor expansions
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    extended CIR model
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    numerical simulation
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