Weak approximations and extrapolations of stochastic differential equations with jumps

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	Weak approximations and extrapolations of stochastic differential equations with jumps
	Liu, XQ ; Li, CW
	2000-05-26
发表期刊	SIAM JOURNAL ON NUMERICAL ANALYSIS
ISSN	0036-1429
卷号	37 期号:6 页码:1747-1767
摘要	Numerical discretization schemes are developed to approximate functionals of stochastic differential equations with jumps, and the convergence is shown to have an appropriate order. For the Euler scheme and the second order weak scheme, the leading coefficient of their global errors are determined by the stochastic Taylor expansion. Based on the error expression, the extrapolation technique can be applied to get a higher order convergence. Numerical examples are provided to compare various weak schemes and extrapolations.
关键词	jump diffusion Ito-Taylor expansion weak convergence extrapolation method
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000087745600001
出版者	SIAM PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/15779
专题	中国科学院数学与系统科学研究院
通讯作者	Liu, XQ
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	Liu, XQ,Li, CW. Weak approximations and extrapolations of stochastic differential equations with jumps[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS,2000,37(6):1747-1767.
APA	Liu, XQ,&Li, CW.(2000).Weak approximations and extrapolations of stochastic differential equations with jumps.SIAM JOURNAL ON NUMERICAL ANALYSIS,37(6),1747-1767.
MLA	Liu, XQ,et al."Weak approximations and extrapolations of stochastic differential equations with jumps".SIAM JOURNAL ON NUMERICAL ANALYSIS 37.6(2000):1747-1767.