A long term analysis of stochastic theta methods for mean reverting linear process with jumps
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Publication:6101770
DOI10.1016/j.apnum.2022.12.011OpenAlexW4313531992MaRDI QIDQ6101770
Carmela Scalone, Afsaneh Moradi, Raffaele D'Ambrosio
Publication date: 20 June 2023
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2022.12.011
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 (3)
Variable stepsize multivalue collocation methods ⋮ Random periodic solutions of SDEs: existence, uniqueness and numerical issues ⋮ Numerical conservation issues for jump Pearson diffusions
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