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Time Discrete Taylor Approximations for Itǒ Processes with Jump Component

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References

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1979Calcul Stochastique et Problèmes de Martingales1,161 cited
1981Stochastic Differential Equations and Diffusion Processes597 cited
2005Efficient numerical schemes for the approximation of expectations of functionals of the solution of a S.D.E., and applications106 cited

Cited by

1991Rate of Convergence of the Euler Approximation for Diffusion Processes54 cited
2000Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps52 cited
2004Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities45 cited
2012Weak Order for the Discretization of the Stochastic Heat Equation Driven by Impulsive Noise40 cited
2008Adaptive Weak Approximation of Diffusions with Jumps38 cited
2007Approximation of jump diffusions in finance and economics35 cited
2003Cap and swaption approximations in Libor market models with jumps35 cited
1998Exact solutions and doubly efficient approximations of jump-diffusion itô equations26 cited
2002Nonlinear Filtering of Stochastic Differential Equations with Jumps25 cited

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