JUMP SYSTEMS WITH THE MEAN-REVERTING γ-PROCESS AND CONVERGENCE OF THE NUMERICAL APPROXIMATION (Q5389123)
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scientific article; zbMATH DE number 6027877
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | JUMP SYSTEMS WITH THE MEAN-REVERTING γ-PROCESS AND CONVERGENCE OF THE NUMERICAL APPROXIMATION |
scientific article; zbMATH DE number 6027877 |
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JUMP SYSTEMS WITH THE MEAN-REVERTING γ-PROCESS AND CONVERGENCE OF THE NUMERICAL APPROXIMATION (English)
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24 April 2012
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Euler-Maruyama approximation
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convergence in probability
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compensated Poisson process
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mean-reverting process
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stochastic differential equation
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positive solution
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finance
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Brownian motion
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