Optimal approximation of stochastic integrals with respect to a homogeneous Poisson process

DOI10.1007/s00009-016-0710-zzbMath1359.65011OpenAlexW2304605012MaRDI QIDQ350258

Jacek Dȩbowski, Paweł Przybyłowicz

Publication date: 7 December 2016

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00009-016-0710-z

zbMATH Keywords

convergencePoisson processoptimal algorithmstochastic integralsadaptive informationIto-Taylor method

Mathematics Subject Classification ID

Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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