The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations

DOI10.1080/07362990600958838zbMath1118.65003OpenAlexW1990138941MaRDI QIDQ3423710

Albert Gardoń

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990600958838

zbMATH Keywords

stochastic differential equationstrong discrete time approximation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Compensated two-step Maruyama methods for stochastic differential equations with Poisson jumps ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift ⋮ Compensated \(\theta\)-Milstein methods for stochastic differential equations with Poisson jumps

Cites Work

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• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Time Discrete Taylor Approximations for It?? Processes with Jump Component
• Numerical Treatment of Stochastic Differential Equations
• Exact solutions and doubly efficient approximations of jump-diffusion itô equations
• Error Analysis for Approximation of Stochastic Differential Equations Driven by Poisson Random Measures

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