In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations

DOI10.1093/imamci/4.1.65zbMath0621.60064OpenAlexW2010704217MaRDI QIDQ3757084

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Publication date: 1987

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/4.1.65

zbMATH Keywords

rate of convergencenumerical solution of a wide class of Itô stochastic differential equationsstochastic Cauchy-Euler schemestochastic truncation errors

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (9)

Approximation of jump diffusions in finance and economics ⋮ Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems ⋮ Strong approximations of stochastic differential equations with jumps ⋮ Implicit numerical solutions for solving stochastic differential equations with jumps ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps ⋮ Product expansion for stochastic jump diffusions and its application to numerical approximation ⋮ Convergence and stability of the balanced methods for stochastic differential equations with jumps ⋮ Exact solutions and doubly efficient approximations of jump-diffusion itô equations

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