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ArticleStrong approximations of stochastic differential equations with jumps

Nicola Bruti‐Liberati2006

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Articlebronze2006

Strong approximations of stochastic differential equations with jumps

Nicola Bruti‐Liberati · Eckhard Platen

85 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Numerical methods for differential equations Differential Equations and Numerical Methods

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References

2016Numerical solution of stochastic differential equations 2005Stochastic Integration and Differential Equations 1983Stochastic Differential Equations and Diffusion Processes 1997A Markov Model for the Term Structure of Credit Risk Spreads 1998Asymptotic error distributions for the Euler method for stochastic differential equations 2003Handbook of heavy tailed distributions in finance 1997The Euler scheme for Lévy driven stochastic differential equations 2003Jump-Diffusion Models

Cited by

2010Jump-adapted discretization schemes for Lévy-driven SDEs 2008Adaptive Weak Approximation of Diffusions with Jumps 2016A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models 2019Convergence and stability of the backward Euler method for jump–diffusion SDEs with super-linearly growing diffusion and jump coefficients

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Year2006

Typearticle

Published2006-07-25

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations85

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2006.03.040

openalex_workW2053435853

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