Error Analysis for Approximation of Stochastic Differential Equations Driven by Poisson Random Measures

DOI10.1137/S0036142999360275zbMath1011.60033WikidataQ59225738 ScholiaQ59225738MaRDI QIDQ4539416

Erika Hausenblas

Publication date: 8 July 2002

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationMalliavin calculusstable processEuler scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Finite element method and discontinuous Galerkin method for stochastic scattering problem of Helmholtz type in \(\mathbb R^{d} (d =2, 3)\) ⋮ Domain decomposition methods for linear and semilinear elliptic stochastic partial differential equations ⋮ CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION ⋮ Weak error for stable driven stochastic differential equations: expansion of the densities ⋮ Convergence of Moments of tau Leaping Schemes for Unbounded Markov Processes on Integer Lattices ⋮ The Order 1.5 Approximation for Solutions of Jump-Diffusion Equations

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