Almost sure convergence of the numerical discretization of stochastic jump diffusions

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	Almost sure convergence of the numerical discretization of stochastic jump diffusions
	Li, CW ; Liu, XQ
	2000-07-01
发表期刊	ACTA APPLICANDAE MATHEMATICAE
ISSN	0167-8019
卷号	62 期号:3 页码:225-244
摘要	Based on the shuffle product expansion of exponential Lie series in terms of a Philip Hall basis for the stochastic differential equations of jump-diffusion type, we can establish Stratonovich-Taylor-Hall (STH) schemes. However, the STHr scheme converges only at order r in the mean-square sense. In order to have the almost sure Stratonovich-Taylor-Hall (ASTH) schemes, we have to include all the terms related to multiple Poissonian integrals as the moments of multiple Poissonian integrals always have lower orders of magnitudes as compared with those of multiple Brownian integrals.
关键词	jump diffusion Stratonovich-Taylor expansion exponential Lie series Philip Hall basis shuffle product almost sure convergence
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000165376100001
出版者	KLUWER ACADEMIC PUBL
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/15710
专题	中国科学院数学与系统科学研究院
通讯作者	Li, CW
作者单位	1.City Univ Hong Kong, Dept Math, Kowloon, Hong Kong, Peoples R China 2.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Li, CW,Liu, XQ. Almost sure convergence of the numerical discretization of stochastic jump diffusions[J]. ACTA APPLICANDAE MATHEMATICAE,2000,62(3):225-244.
APA	Li, CW,&Liu, XQ.(2000).Almost sure convergence of the numerical discretization of stochastic jump diffusions.ACTA APPLICANDAE MATHEMATICAE,62(3),225-244.
MLA	Li, CW,et al."Almost sure convergence of the numerical discretization of stochastic jump diffusions".ACTA APPLICANDAE MATHEMATICAE 62.3(2000):225-244.