Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control
type: Item
instance of: scholarly article
title: Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control
zbMATH Open document ID: 1503.65020
author: Paweł Przybyłowicz
published in: Journal of Computational and Applied Mathematics
publication date: 2019-01-24T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 7006485
zbMATH Keywords: jump-diffusion SDEs
zbMATH Keywords: homogeneous Poisson process
zbMATH Keywords: Wiener process
zbMATH Keywords: Merton's model
zbMATH Keywords: adaptive step-size control
zbMATH Keywords: random discretization
MaRDI profile type: Publication
full work available at URL: j.cam.2018.10.050
OpenAlex ID: W2899612018
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DOI: 10.1016/J.CAM.2018.10.050
description: scientific article; zbMATH DE number 7006485