Almost sure convergence of the numerical discretization of stochastic jump diffusions
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Publication:1840680
DOI10.1023/A:1006495115904zbMath0970.60064MaRDI QIDQ1840680
Publication date: 24 October 2001
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Numerical solutions to stochastic differential and integral equations (65C30) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (4)
Approximation of jump diffusions in finance and economics ⋮ Strong approximations of stochastic differential equations with jumps ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps
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