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Discretization of jump stochastic differential equations in terms of multiple stochastic integrals
Li, CW; Wu, SC; Liu, XQ
1998-07-01
Source PublicationJOURNAL OF COMPUTATIONAL MATHEMATICS
ISSN0254-9409
Volume16Issue:4Pages:375-384
AbstractIn the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization schemes for stochastic differential equations (SDEs), there appear two types of multiple stochastic integrals respectively. The present work is to approximate these multiple stochastic integrals by converting them into systems of simple SDEs and solving the systems by lower order numerical schemes. The reliability of this approach is clarified in theory and demonstrated in numerical examples. In consequence, the results are applied to the strong discretization of both continuous and jump SDEs.
KeywordBrownian motion Poisson process stochastic differential equation multiple stochastic integral strong discretization
Language英语
WOS Research AreaMathematics
WOS SubjectMathematics, Applied ; Mathematics
WOS IDWOS:000075469400009
PublisherVSP BV
Citation statistics
Cited Times:2[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/13830
Collection中国科学院数学与系统科学研究院
Affiliation1.City Univ Hong Kong, Dept Math, Hong Kong, Hong Kong
2.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
3.Acad Sinica, Lab Management Decis & Informat Syst, Beijing 100080, Peoples R China
Recommended Citation
GB/T 7714
Li, CW,Wu, SC,Liu, XQ. Discretization of jump stochastic differential equations in terms of multiple stochastic integrals[J]. JOURNAL OF COMPUTATIONAL MATHEMATICS,1998,16(4):375-384.
APA Li, CW,Wu, SC,&Liu, XQ.(1998).Discretization of jump stochastic differential equations in terms of multiple stochastic integrals.JOURNAL OF COMPUTATIONAL MATHEMATICS,16(4),375-384.
MLA Li, CW,et al."Discretization of jump stochastic differential equations in terms of multiple stochastic integrals".JOURNAL OF COMPUTATIONAL MATHEMATICS 16.4(1998):375-384.
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