An Optimization Approach to Weak Approximation of Lévy-Driven Stochastic Differential Equations

DOI10.1007/978-3-540-93918-4_24zbMath1198.93237OpenAlexW185310020MaRDI QIDQ4931165

Kenji Kashima, Reiichiro Kawai

Publication date: 4 October 2010

Published in: Perspectives in Mathematical System Theory, Control, and Signal Processing (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2381/8091

zbMATH Keywords

weak approximationmathematical programmingoptimization approachLévy-driven stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15) Optimal stochastic control (93E20) Discrete approximations in optimal control (49M25)

Related Items (1)

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

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