Discretization of jump stochastic differential equations in terms of multiple stochastic integrals

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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
发表期刊	JOURNAL OF COMPUTATIONAL MATHEMATICS
ISSN	0254-9409
卷号	16 期号:4 页码:375-384
摘要	In 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.
关键词	Brownian motion Poisson process stochastic differential equation multiple stochastic integral strong discretization
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000075469400009
出版者	VSP BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/13830
专题	中国科学院数学与系统科学研究院
作者单位	1.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
推荐引用方式 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.