Weak and strong error analysis of recursive quantization: a general approach with an application to jump diffusions

DOI10.1093/IMANUM/DRAA033OpenAlexW3090576654MaRDI QIDQ5077071

Abass Sagna, Gilles Pagès

Publication date: 17 May 2022

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/draa033

zbMATH Keywords

jump diffusionstrong error analysisweak error analysispricing jump modelrecursive quantization

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30)

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