Time Discrete Taylor Approximations for It?? Processes with Jump Component

DOI10.1002/MANA.19881380107MaRDI QIDQ3810629zbMATH OpenOpenAlexFDO

Authors Eckhard Platen, R. Mikulevicius

Publication date 1988

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mana.19881380107

zbMATH Keywords

Itô processorder of convergencePoissonian jumpsimulation of functionalstime-discrete Taylor approximations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• scientific article; zbMATH DE number 1239951
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Taylor approximation of stochastic functional differential equations with the Poisson jump
• The order 1 approximation for solutions of Itô-type stochastic differential equations with jumps
• Strong approximations of stochastic differential equations with jumps

Cites work

• Calcul stochastique et problèmes de martingales

Cited in

(28)

• Short-term risk management using stochastic Taylor expansions under Lévy models
• Product expansion for stochastic jump diffusions and its application to numerical approximation
• Weak order for the discretization of the stochastic heat equation driven by impulsive noise
• Analysis of group of fish response to \textit{startle reaction}
• Approximation of jump diffusions in finance and economics
• Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Higher-Order Weak Approximation of Ito Diffusions by Markov Chains
• The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations
• Convergence and stability of the semi-implicit Euler method for linear stochastic delay integro-differential equations
• A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations
• scientific article; zbMATH DE number 4030942 (Why is no real title available?)
• Relations between multiple ito and stratonovich integrals
• Exact solutions and doubly efficient approximations of jump-diffusion itô equations
• scientific article; zbMATH DE number 1239951 (Why is no real title available?)
• On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
• Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps
• Modified Euler scheme for the weak approximation of stochastic differential equations driven by the Wiener process
• Weak Euler approximation for Itô diffusion and jump processes
• Parametric analysis of the oscillatory solutions to stochastic differential equations with the Wiener and Poisson components by the Monte Carlo method
• Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps
• Local Linear Approximations of Jump Diffusion Processes
• On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
• A Probabilistic Scheme for Semilinear Nonlocal Diffusion Equations with Volume Constraints
• An optimization approach to weak approximation of stochastic differential equations with jumps
• Runge-Kutta methods for jump-diffusion differential equations
• Strong approximations of stochastic differential equations with jumps
• A survey of numerical methods for stochastic differential equations

This page was built for publication: Time Discrete Taylor Approximations for It?? Processes with Jump Component

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3810629)