Pages that link to "Item:Q983262"

The following pages link to Numerical solution of stochastic differential equations with jumps in finance (Q983262):

Displaying 50 items.

• On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272) (← links)
• Non-parametric estimation of mutual information through the entropy of the linkage (Q280732) (← links)
• An error corrected Euler-Maruyama method for stiff stochastic differential equations (Q299692) (← links)
• Asymptotic moment boundedness of the stochastic theta method and its application for stochastic differential equations (Q307360) (← links)
• GPU accelerated Monte Carlo simulation of Brownian motors dynamics with CUDA (Q311833) (← links)
• Analysis of a stochastic tri-trophic food-chain model with harvesting (Q314509) (← links)
• Optimal global approximation of stochastic differential equations with additive Poisson noise (Q329304) (← links)
• Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation (Q340795) (← links)
• Legendre wavelets Galerkin method for solving nonlinear stochastic integral equations (Q347332) (← links)
• Stabilized multilevel Monte Carlo method for stiff stochastic differential equations (Q347978) (← links)
• A computational method for solving stochastic Itô-Volterra integral equations based on stochastic operational matrix for generalized hat basis functions (Q349193) (← links)
• Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process (Q350258) (← links)
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps (Q354261) (← links)
• A robust weak Taylor approximation scheme for solutions of jump-diffusion stochastic delay differential equations (Q370186) (← links)
• Stability of analytical and numerical solutions for nonlinear stochastic delay differential equations with jumps (Q410238) (← links)
• On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs (Q432512) (← links)
• Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise (Q482674) (← links)
• Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models (Q491007) (← links)
• Optimal harvesting policy of a stochastic predator-prey model with time delay (Q494557) (← links)
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models (Q503350) (← links)
• On tamed Milstein schemes of SDEs driven by Lévy noise (Q524004) (← links)
• On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes (Q555019) (← links)
• Runge-Kutta methods for jump-diffusion differential equations (Q654140) (← links)
• Optimal harvesting of a stochastic mutualism model with Lévy jumps (Q671019) (← links)
• An efficient computational method for solving nonlinear stochastic Itô integral equations: application for stochastic problems in physics (Q728921) (← links)
• Numerical methods for mean-field stochastic differential equations with jumps (Q820736) (← links)
• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes (Q898953) (← links)
• Wonham filtering by observations with multiplicative noises (Q1641944) (← links)
• On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions (Q1644038) (← links)
• The role of the risk-neutral jump size distribution in single-factor interest rate models (Q1668933) (← links)
• Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models (Q1709604) (← links)
• Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control (Q1713191) (← links)
• Equivalence of the mean square stability between the partially truncated Euler-Maruyama method and stochastic differential equations with super-linear growing coefficients (Q1716063) (← links)
• Convergence of discrete time waveform relaxation methods (Q1717580) (← links)
• Convergence analysis of semi-implicit Euler methods for solving stochastic age-dependent capital system with variable delays and random jump magnitudes (Q1718435) (← links)
• Pricing extendible options using the fast Fourier transform (Q1719223) (← links)
• Timing portfolio strategies with exponential Lévy processes (Q1722752) (← links)
• Convergence of numerical solutions to stochastic differential equations with Markovian switching (Q1740143) (← links)
• Optimal global approximation of jump-diffusion SDEs via path-independent step-size control (Q1743399) (← links)
• The truncated Milstein method for stochastic differential equations with commutative noise (Q1743967) (← links)
• Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation (Q1755929) (← links)
• Weak time-derivatives and no-arbitrage pricing (Q1788828) (← links)
• An improved Milstein method for stiff stochastic differential equations (Q1795526) (← links)
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes (Q1980850) (← links)
• Wavelets method for solving nonlinear stochastic Itô-Volterra integral equations (Q1986057) (← links)
• Truncated Euler-Maruyama method for classical and time-changed non-autonomous stochastic differential equations (Q1986138) (← links)
• Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs (Q2007289) (← links)
• Credit derivative evaluation and CVA under the benchmark approach (Q2013322) (← links)
• On Milstein-type scheme for SDE driven by Lévy noise with super-linear coefficients (Q2029741) (← links)
• Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1 (Q2032212) (← links)