Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps
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Publication:4509654
DOI10.1137/S0036142998344512zbMath0960.65010MaRDI QIDQ4509654
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Publication date: 19 October 2000
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
weak convergenceerror boundsextrapolation methodweak approximationjump diffusionItô stochastic differential equationsItô-Taylor expansion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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