Product expansion for stochastic jump diffusions and its application to numerical approximation
文献类型：期刊论文
| 作者 | Liu, XQ; Li, CW |
| 刊名 | JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
 |
| 出版日期 | 1999-08-15 |
| 卷号 | 108期号:1-2页码:1-17 |
| 关键词 | jump diffusion multiple stochastic integral Stratonovich-Taylor expansion exponential Lie series Philip Hall basis shuffle product mean square convergence |
| ISSN号 | 0377-0427 |
| 英文摘要 | We derive a product expansion of the exponential Lie series in terms of a Philip Hall basis for the Chen series corresponding to the stochastic jump diffusion as in Sussmann (in: C.I. Byrnes and A. Lindquist (Eds.), Theory and Applications of Nonlinear Control Systems, North-Holland, Amsterdam, 1986, pp. 323-335) for the deterministic case. Based on the expansion, we establish the Stratonovich-Taylor-Hall (STH) schemes such that each scheme involves only the minimum number of multiple stochastic integrals, which can be regarded as systems of stochastic differential equations and approximated by a lower order scheme with an appropriate step size to ensure the necessary accuracy. Mean-square convergence of the STH schemes is shown and numerical examples are provided to illustrate the results. (C) 1999 Elsevier Science B.V. All rights reserved. MSG: primary 65U05; secondary 60H10, 60J65; 60G55; 41A58. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000081945900001 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/14909]  |
| 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, Kowloon, Hong Kong 2.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Liu, XQ,Li, CW. Product expansion for stochastic jump diffusions and its application to numerical approximation[J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,1999,108(1-2):1-17. |
| APA | Liu, XQ,&Li, CW.(1999).Product expansion for stochastic jump diffusions and its application to numerical approximation.JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,108(1-2),1-17. |
| MLA | Liu, XQ,et al."Product expansion for stochastic jump diffusions and its application to numerical approximation".JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 108.1-2(1999):1-17. |
入库方式： OAI收割
来源：数学与系统科学研究院
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