Optimal global approximation of jump-diffusion SDEs via path-independent step-size control (Q1743399)
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scientific article; zbMATH DE number 6859508
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal global approximation of jump-diffusion SDEs via path-independent step-size control |
scientific article; zbMATH DE number 6859508 |
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Optimal global approximation of jump-diffusion SDEs via path-independent step-size control (English)
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13 April 2018
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SDEs with jumps
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nonhomogeneous Poisson process
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Wiener process
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minimal error
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adaptive step-size control
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asymptotically optimal algorithm
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