New representations of explicit one-step numerical methods for jump-diffusion stochastic differential equations
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Publication:1395293
zbMath1025.60033MaRDI QIDQ1395293
Publication date: 1 July 2003
Published in: Computational Mathematics and Mathematical Physics (Search for Journal in Brave)
numerical methodexpansionapproximationPoisson processjump-diffusion stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60)
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