Discretization of jump stochastic differential equations in terms of multiple stochastic integrals
文献类型：期刊论文
| 作者 | Li, CW; Wu, SC; Liu, XQ |
| 刊名 | JOURNAL OF COMPUTATIONAL MATHEMATICS
 |
| 出版日期 | 1998-07-01 |
| 卷号 | 16期号:4页码:375-384 |
| 关键词 | Brownian motion Poisson process stochastic differential equation multiple stochastic integral strong discretization |
| ISSN号 | 0254-9409 |
| 英文摘要 | In the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization schemes for stochastic differential equations (SDEs), there appear two types of multiple stochastic integrals respectively. The present work is to approximate these multiple stochastic integrals by converting them into systems of simple SDEs and solving the systems by lower order numerical schemes. The reliability of this approach is clarified in theory and demonstrated in numerical examples. In consequence, the results are applied to the strong discretization of both continuous and jump SDEs. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000075469400009 |
| 出版者 | VSP BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/13829]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 作者单位 | 1.City Univ Hong Kong, Dept Math, Hong Kong, Hong Kong 2.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China 3.Acad Sinica, Lab Management Decis & Informat Syst, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Li, CW,Wu, SC,Liu, XQ. Discretization of jump stochastic differential equations in terms of multiple stochastic integrals[J]. JOURNAL OF COMPUTATIONAL MATHEMATICS,1998,16(4):375-384. |
| APA | Li, CW,Wu, SC,&Liu, XQ.(1998).Discretization of jump stochastic differential equations in terms of multiple stochastic integrals.JOURNAL OF COMPUTATIONAL MATHEMATICS,16(4),375-384. |
| MLA | Li, CW,et al."Discretization of jump stochastic differential equations in terms of multiple stochastic integrals".JOURNAL OF COMPUTATIONAL MATHEMATICS 16.4(1998):375-384. |
入库方式： OAI收割
来源：数学与系统科学研究院
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