Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
type: Item
instance of: scholarly article
title: Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
zbMATH Open document ID: 1043.60052
author: Paul Glasserman
author: Nicolas Merener
publication date: 2004-08-06T00:00:00Z
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H20
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 2083899
zbMATH Keywords: discretization scheme
zbMATH Keywords: jump diffusion process
zbMATH Keywords: state dependent intensity
MaRDI profile type: Publication
full work available at URL: rspa.2003.1237
OpenAlex ID: W2147563597
DOI: 10.1098/RSPA.2003.1237
published in: Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences
description: scientific article