The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps

Stochastic Analysis and Applications

Volumn 22, Issue 3, 2004, Pages 679-699

  Gardoń, Albert ^a  

^a WROCLAW UNIVERSITY OF TECHNOLOGY   (Poland)

Author keywords

Jump diffusion; Numerical approximation; Poisson process; Stochastic differential equations

Indexed keywords

EID: 2442438946     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAP-120030451     Document Type: Article

References (4)

1. Jacod, J.; Protter, P. Asymptotic error distributions for the Euler method for stochastic differential equations. Ann. Prob. 1998, 26 (1), 267-307.
2. Kloeden, P.E.; Platen, E. Numerical Solution of Stochastic Differential Equations; Springer-Verlag: New York-Berlin-Heidelberg, 1995.
3. Protter, P. Stochastic Integration and Differential Equations. A New Approach; Springer-Verlag: Berlin-Heidelberg, 1990.
4. Sobczyk, K. Stochastic Differential Equations with Applications to Physics and Engineering. Kluwer Academic Publishers B.V., 1991.