Almost sure convergence of the numerical discretization of stochastic jump diffusions (Q1840680)
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scientific article; zbMATH DE number 1563266
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Almost sure convergence of the numerical discretization of stochastic jump diffusions |
scientific article; zbMATH DE number 1563266 |
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Almost sure convergence of the numerical discretization of stochastic jump diffusions (English)
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24 October 2001
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The paper considers discrete time approximations of Itô stochastic differential equations with jump component. Using a shuffle product expansion of exponential Lie series appropriate schemes, involving multiple Poisson integrals and multiple Wiener integrals, have been established.
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jump diffusions
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Stratonovich-Taylor expansion
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0.92713654
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0.9203272
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0.9170147
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0.9129576
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