Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
From MaRDI portal
Publication:3043428
DOI10.1098/rspa.2003.1237zbMath1043.60052OpenAlexW2147563597MaRDI QIDQ3043428
Paul Glasserman, Nicolas Merener
Publication date: 6 August 2004
Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rspa.2003.1237
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (16)
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity ⋮ Approximation of jump diffusions in finance and economics ⋮ Multilevel Path Simulation for Jump-Diffusion SDEs ⋮ Reducing Bias in Event Time Simulations via Measure Changes ⋮ Strong approximations of stochastic differential equations with jumps ⋮ Jump locations of jump-diffusion processes with state-dependent rates ⋮ Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Strong convergence of the split-step \(\theta\)-method for stochastic age-dependent capital system with random jump magnitudes ⋮ Exact simulation of jump-diffusion processes with Monte Carlo applications ⋮ Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps ⋮ Comparing stochastic volatility models through Monte Carlo simulations ⋮ Mixture dynamics and regime switching diffusions with application to option pricing ⋮ Convergence of Moments of tau Leaping Schemes for Unbounded Markov Processes on Integer Lattices ⋮ Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability ⋮ Mean-square convergence of drift-implicit one-step methods for neutral stochastic delay differential equations with jump diffusion
This page was built for publication: Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
