Almost sure convergence of the numerical discretization of stochastic jump diffusions
type: Item
instance of: scholarly article
title: Almost sure convergence of the numerical discretization of stochastic jump diffusions
zbMATH Open document ID: 0970.60064
DOI: 10.1023/A:1006495115904
author: Yanyan Li
published in: Acta Applicandae Mathematicae
publication date: 2001-10-24T00:00:00Z
review text: The paper considers discrete time approximations of Itô stochastic differential equations with jump component. Using a shuffle product expansion of exponential Lie series appropriate schemes, involving multiple Poisson integrals and multiple Wiener integrals, have been established.
reviewed by: Eckhard Platen
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 41A58
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 1563266
zbMATH Keywords: jump diffusions
zbMATH Keywords: Stratonovich-Taylor expansion
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1563266