Measuring Impact of Random Jumps Without Sample Path Generation

DOI10.1137/151004070zbMath1342.60133OpenAlexW2223933862MaRDI QIDQ3452488

Reiichiro Kawai

Publication date: 12 November 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/151004070

zbMATH Keywords

sensitivity analysisMarkov inequalityjump-diffusion processesrare jumps

Mathematics Subject Classification ID

Related Items (5)

Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ The Gerber-Shiu discounted penalty function: a review from practical perspectives ⋮ Iterative weak approximation and hard bounds for switching diffusion ⋮ SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS ⋮ Explicit hard bounding functions for boundary value problems for elliptic partial differential equations

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