The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations

DOI10.1080/07362990600958838MaRDI QIDQ3423710zbMATH OpenOpenAlexFDO

Authors Albert Gardoń

Publication date 15 February 2007

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990600958838

zbMATH Keywords

stochastic differential equationstrong discrete time approximation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• Error Analysis for Approximation of Stochastic Differential Equations Driven by Poisson Random Measures
• Exact solutions and doubly efficient approximations of jump-diffusion itô equations
• scientific article; zbMATH DE number 47670 (Why is no real title available?)
• scientific article; zbMATH DE number 1054336 (Why is no real title available?)
• scientific article; zbMATH DE number 939851 (Why is no real title available?)
• Numerical Treatment of Stochastic Differential Equations
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Time Discrete Taylor Approximations for It?? Processes with Jump Component

Cited in

(15)

• On explicit order 1.5 approximations with varying coefficients: the case of super-linear diffusion coefficients
• Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift
• Compensated -Milstein methods for stochastic differential equations with Poisson jumps
• High-order numerical schemes for jump-SDEs
• Approximation of jump diffusions in finance and economics
• Numerical analysis for jump-diffusion stochastic differential equations
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• First Order Strong Approximations of Jump Diffusions
• The order 1 approximation for solutions of Itô-type stochastic differential equations with jumps
• scientific article; zbMATH DE number 1239951 (Why is no real title available?)
• Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps
• A higher order approximation method for jump-diffusion SDEs with discontinuous drift coefficient
• Runge-Kutta methods for jump-diffusion differential equations
• Strong order 1 adaptive approximation of jump-diffusion SDEs with discontinuous drift
• Strong approximations of stochastic differential equations with jumps

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