Product expansion for stochastic jump diffusions and its application to numerical approximation
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Publication:1807786
DOI10.1016/S0377-0427(99)00095-3zbMath0934.65006MaRDI QIDQ1807786
Publication date: 25 April 2000
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
numerical resultsmean-square convergenceChen seriesmultiple stochastic integralsproduct expansionshuffle productsexponential Lie seriesPhilip Hall basisstochastic jump diffusionsStratonovich-Taylor-Hall schemes
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Cites Work
- Discretization and simulation of stochastic differential equations
- Stochastic flows and Taylor series
- Asymptotic expansion of stochastic flows
- The Euler scheme for Lévy driven stochastic differential equations
- The ordinary differential equation approach to asymptotically efficient schemes for solution of stochastic differential equations
- Discretization of stochastic differential equations by the product expansion for the chen series
- Asymptotically Efficient Runge-Kutta Methods for a Class of Itô and Stratonovich Equations
- An efficient approximation for stochastic differential equations on the partition ofsymmetricalirst
- In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations
- Time Discrete Taylor Approximations for It?? Processes with Jump Component
- Random Generation of Stochastic Area Integrals
- Algebraic structure of multiple stochastic integrals with respect to brownian motions and poisson processes
- An asymptotically efficient difference formula for solving stochastic differential equations
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