Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps

DOI10.1239/jap/1208358962zbMath1136.60359OpenAlexW2027562041MaRDI QIDQ5459919

J. C. Jimenez, F. Carbonell

Publication date: 30 April 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1208358962

zbMATH Keywords

stochastic differential equationweak convergencenumerical integrationlocal linearizationjump diffusion process

Mathematics Subject Classification ID

Related Items (5)

Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems ⋮ Runge-Kutta methods for jump-diffusion differential equations ⋮ Convergence rate of weak local linearization schemes for stochastic differential equations with additive noise ⋮ Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps ⋮ Runge-Kutta Lawson schemes for stochastic differential equations

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