Optimal Approximation of Stochastic integrals with Respect to a Homogeneous Poisson Process
Author:
Funder
National Science Centre, Poland
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s00009-016-0710-z.pdf
Reference17 articles.
1. Bassan B., Bona E.: Moments of stochastic processes governed by Poisson random measures. Comment. Math. Univer. Carolinae 31, 337–343 (1990)
2. Gardoń A.: The order of approximations for solutions of Itô-type stochastic differential equations with jumps. Stoch. Anal. Appl. 22, 679–699 (2004)
3. Kacewicz B.: Minimal asymptotic error of algorithms for solving ODE. J. Complex. 4, 373–389 (1988)
4. Kacewicz B.: Asymptotic setting (revisited): analysis of a boundary-value problem and a relation to a classical approximation result. J. Complex. 20, 796–806 (2004)
5. Kopp P.E.: Martingales and Stochastic Integrals. Cambridge University Press, Cambridge (1984)
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Optimal global approximation of systems of jump-diffusion SDEs on equidistant mesh;Applied Numerical Mathematics;2022-09
2. Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure;SIAM Journal on Numerical Analysis;2022-04
3. Efficient approximate solution of jump–diffusion SDEs via path-dependent adaptive step-size control;Journal of Computational and Applied Mathematics;2019-04
4. Optimal sampling design for global approximation of jump diffusion stochastic differential equations;Stochastics;2018-09-19
5. Optimal global approximation of jump-diffusion SDEs via path-independent step-size control;Applied Numerical Mathematics;2018-06
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3