Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh

DOI10.1016/j.apnum.2022.04.009zbMath1492.65025OpenAlexW4224067571WikidataQ114208130 ScholiaQ114208130MaRDI QIDQ2143096

Andrzej Kałuża

Publication date: 30 May 2022

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2022.04.009

zbMATH Keywords

Wiener processnonhomogeneous Poisson processminimal errorasymptotically optimal algorithmSDEs with jumpsequidistant mesh

Mathematics Subject Classification ID

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

Related Items (2)

Density not realizable as the Jacobian determinant of a bilipschitz map ⋮ Milstein scheme for stochastic differential equation with Markovian switching and Lévy noise

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