Strong approximations of stochastic differential equations with jumps
暂无分享,去创建一个
[1] E. Platen. An introduction to numerical methods for stochastic differential equations , 1999, Acta Numerica.
[2] R. Jarrow,et al. A Markov Model for the Term Structure of Credit Risk Spreads , 1997 .
[3] Philip Protter,et al. The Euler scheme for Lévy driven stochastic differential equations , 1997 .
[4] A. Gardon. The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps , 2004 .
[5] C. W. Li,et al. Almost Sure Convergence of the Numerical Discretization of Stochastic Jump Diffusions , 2000 .
[6] L. Rogers. Stochastic differential equations and diffusion processes: Nobuyuki Ikeda and Shinzo Watanabe North-Holland, Amsterdam, 1981, xiv + 464 pages, Dfl.175.00 , 1982 .
[7] Eckhard Platen,et al. Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps , 2002, Monte Carlo Methods Appl..
[8] Y. Maghsoodi,et al. In-Probability Approximation and Simulation of Nonlinear Jump-Diffusion Stochastic Differential Equations , 1987 .
[9] P. Protter,et al. Asymptotic error distributions for the Euler method for stochastic differential equations , 1998 .
[10] Paul Glasserman,et al. Numerical solution of jump-diffusion LIBOR market models , 2003, Finance Stochastics.
[11] P. Kloeden,et al. CONVERGENCE AND STABILITY OF IMPLICIT METHODS FOR JUMP-DIFFUSION SYSTEMS , 2005 .
[12] Nicola Bruti-Liberati,et al. On the Strong Approximation of Jump-Diffusion Processes , 2005 .
[13] The Euler Scheme for L?evy Driven Stochastic Difierential Equations: Limit Theorems , 2004, math/0410118.
[14] D. Gillespie. Exact Stochastic Simulation of Coupled Chemical Reactions , 1977 .
[15] R. Schilling. Financial Modelling with Jump Processes , 2005 .
[16] Eckhard Platen,et al. Time Discrete Taylor Approximations for Itǒ Processes with Jump Component , 1988 .
[17] Paul Glasserman,et al. Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities , 2004, Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences.
[18] X. Q. Liu,et al. Weak Approximations and Extrapolations of Stochastic Differential Equations with Jumps , 2000, SIAM J. Numer. Anal..
[19] Kevin Burrage,et al. Stochastic approaches for modelling in vivo reactions , 2004, Comput. Biol. Chem..
[20] Desmond J. Higham,et al. Numerical methods for nonlinear stochastic differential equations with jumps , 2005, Numerische Mathematik.
[21] S. Rachev. Handbook of heavy tailed distributions in finance , 2003 .
[22] David Douglas Engel,et al. The Multiple Stochastic Integral , 1982 .
[23] P. Protter. Stochastic integration and differential equations , 1990 .
[24] B. Øksendal,et al. Applied Stochastic Control of Jump Diffusions , 2004, Universitext.
[25] David J. Wright. Digital simulation of Poisson stochastic differential equations , 1980 .
[26] Y. Maghsoodi,et al. Exact solutions and doubly efficient approximations of jump-diffusion itô equations , 1998 .
[27] D. Gillespie. Approximate accelerated stochastic simulation of chemically reacting systems , 2001 .
[28] Jean Jacod,et al. The approximate Euler method for Lévy driven stochastic differential equations , 2005 .
[29] 池田 信行,et al. Stochastic differential equations and diffusion processes , 1981 .
[30] Almost Sure Convergence of Stochastic Differential Equations of Jump-Diffusion Type , 1995 .