An optimization approach to weak approximation of stochastic differential equations with jumps
type: Item
instance of: scholarly article
title: An optimization approach to weak approximation of stochastic differential equations with jumps
zbMATH Open document ID: 1210.65012
author: Kenji Kashima
author: Reiichiro Kawai
published in: Applied Numerical Mathematics
publication date: 2011-03-14T00:00:00Z
full work available at URL: http://hdl.handle.net/2381/9044
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 5865698
zbMATH Keywords: Doléans-Dade stochastic exponential
zbMATH Keywords: Lévy processes
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: truncated stable process
zbMATH Keywords: Ornstein-Uhlenbeck-type process
zbMATH Keywords: polynomial programming
zbMATH Keywords: weak approximation
zbMATH Keywords: numerical results
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MaRDI profile type: Publication
OpenAlex ID: W2063665381
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DOI: 10.1016/J.APNUM.2010.10.012
description: scientific article; zbMATH DE number 5865698