Exact solutions and doubly efficient approximations of jump-diffusion itô equations

DOI10.1080/07362999808809579zbMath0920.60041OpenAlexW1994624887MaRDI QIDQ4223643

Yoosef Maghsoodi

Publication date: 30 March 1999

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

Full work available at URL: https://doi.org/10.1080/07362999808809579

zbMATH Keywords

accuracynumerical simulationextended CIR modelgenerator and Taylor expansionsItô stochastic differential equations with jumpsjump-adapted numerical methodsweak and mean square convergence

Mathematics Subject Classification ID

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

Related Items (12)

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 ⋮ A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Strong Convergence Analysis of Split-Step θ-Scheme for Nonlinear Stochastic Differential Equations with Jumps ⋮ Numerical methods for nonlinear stochastic differential equations with jumps ⋮ Compensated \(\theta\)-Milstein methods for stochastic differential equations with Poisson jumps ⋮ Convergence and stability of the balanced methods for stochastic differential equations with jumps ⋮ Local Linear Approximations of Jump Diffusion Processes ⋮ Exact simulation of the first passage time through a given level of jump diffusions ⋮ The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations

Cites Work

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• A state estimation algorithm for linear systems driven simultaneously by Wiener and Poisson processes
• Numerical Treatment of Stochastic Differential Equations
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• Numerical Solution of Ito Integral Equations

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