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Items for "first order strong convergence"

First Order Strong Approximations of Jump Diffusions

This paper presents new results on strong numerical schemes, which are appropriate for scenario analysis, filtering and hedge simulation, for stochastic differential equations (SDEs) of jump-diffusion type...

Keywords: jump-diffusion processes, stochastic Taylor expansion, discrete time approximation, scenario simulation, first order strong convergence

10/2006 | Monte Carlo Methods and Applications, Walter de Gruyter