Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control

DOI10.1016/j.cam.2018.10.050zbMath1503.65020OpenAlexW2899612018MaRDI QIDQ1713191

Paweł Przybyłowicz

Publication date: 24 January 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.10.050

zbMATH Keywords

Wiener processadaptive step-size controlhomogeneous Poisson processMerton's modelrandom discretizationjump-diffusion SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh ⋮ Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure ⋮ Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise ⋮ Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift

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