Almost sure convergence of the numerical discretization of stochastic jump diffusions
文献类型：期刊论文
| 作者 | Li, CW; Liu, XQ |
| 刊名 | ACTA APPLICANDAE MATHEMATICAE
 |
| 出版日期 | 2000-07-01 |
| 卷号 | 62期号:3页码:225-244 |
| 关键词 | jump diffusion Stratonovich-Taylor expansion exponential Lie series Philip Hall basis shuffle product almost sure convergence |
| ISSN号 | 0167-8019 |
| 英文摘要 | Based on the shuffle product expansion of exponential Lie series in terms of a Philip Hall basis for the stochastic differential equations of jump-diffusion type, we can establish Stratonovich-Taylor-Hall (STH) schemes. However, the STHr scheme converges only at order r in the mean-square sense. In order to have the almost sure Stratonovich-Taylor-Hall (ASTH) schemes, we have to include all the terms related to multiple Poissonian integrals as the moments of multiple Poissonian integrals always have lower orders of magnitudes as compared with those of multiple Brownian integrals. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000165376100001 |
| 出版者 | KLUWER ACADEMIC PUBL |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/15709]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Li, CW |
| 作者单位 | 1.City Univ Hong Kong, Dept Math, Kowloon, Hong Kong, Peoples R China 2.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Li, CW,Liu, XQ. Almost sure convergence of the numerical discretization of stochastic jump diffusions[J]. ACTA APPLICANDAE MATHEMATICAE,2000,62(3):225-244. |
| APA | Li, CW,&Liu, XQ.(2000).Almost sure convergence of the numerical discretization of stochastic jump diffusions.ACTA APPLICANDAE MATHEMATICAE,62(3),225-244. |
| MLA | Li, CW,et al."Almost sure convergence of the numerical discretization of stochastic jump diffusions".ACTA APPLICANDAE MATHEMATICAE 62.3(2000):225-244. |
入库方式： OAI收割
来源：数学与系统科学研究院
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