A higher-order approximation method for jump-diffusion SDEs with a discontinuous drift coefficient-Reference-Cited by-同舟云学术

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A higher-order approximation method for jump-diffusion SDEs with a discontinuous drift coefficient

Published:2024-10 Issue:1 Volume:538 Page:128319
ISSN:0022-247X
Container-title:Journal of Mathematical Analysis and Applications
language:en
Short-container-title:Journal of Mathematical Analysis and Applications

Author:

Przybyłowicz Paweł,Schwarz Verena^ORCID,Szölgyenyi Michaela

Funder

FWF

Publisher

Elsevier BV

Reference60 articles.

1. Futures pricing in electricity markets based on stable CARMA spot models;Benth;Energy Econ.,2014

2. Runge-Kutta methods for jump-diffusion differential equations;Buckwar;J. Comput. Appl. Math.,2011

3. Approximation of SDEs: a stochastic sewing approach;Butkovsky;Probab. Theory Relat. Fields,2021

4. Convergence and stability of the backward Euler method for jump–diffusion SDEs with super-linearly growing diffusion and jump coefficients;Chen;J. Comput. Appl. Math.,2020

Cited by 2 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. On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient;Journal of Complexity;2024-12

2. Lower error bounds and optimality of approximation for jump-diffusion SDEs with discontinuous drift;BIT Numerical Mathematics;2024-09-09

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