A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered Polynomial Optimization

DOI10.1080/15326349.2011.542721zbMath1305.60044OpenAlexW1974734672MaRDI QIDQ4906406

Reiichiro Kawai, Kenji Kashima

Publication date: 11 February 2013

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2381/9045

zbMATH Keywords

semidefinite programmingOrnstein-Uhlenbeck processweak approximationLévy processstochastic differential equations with jumpsstable subordinatorexponential tempering

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Semidefinite programming (90C22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

Measuring Impact of Random Jumps Without Sample Path Generation ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Computable Primal and Dual Bounds for Stochastic Control ⋮ Explicit hard bounding functions for boundary value problems for elliptic partial differential equations

Uses Software

• SeDuMi

Cites Work

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• An Optimization Approach to Weak Approximation of Lévy-Driven Stochastic Differential Equations
• PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS

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