Numerical Solution of Stochastic Differential Equations with Jumps in Finance

DOI10.1080/14697688.2013.828240zbMath1281.00015OpenAlexW2057353353MaRDI QIDQ5397466

Andrew Papanicolaou

Publication date: 20 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.828240

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) External book reviews (00A17)

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The truncated Euler–Maruyama method for stochastic differential equations with piecewise continuous arguments driven by Lévy noise

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