Weak approximations and extrapolations of stochastic differential equations with jumps
文献类型：期刊论文
| 作者 | Liu, XQ; Li, CW |
| 刊名 | SIAM JOURNAL ON NUMERICAL ANALYSIS
 |
| 出版日期 | 2000-05-26 |
| 卷号 | 37期号:6页码:1747-1767 |
| 关键词 | jump diffusion Ito-Taylor expansion weak convergence extrapolation method |
| ISSN号 | 0036-1429 |
| 英文摘要 | Numerical discretization schemes are developed to approximate functionals of stochastic differential equations with jumps, and the convergence is shown to have an appropriate order. For the Euler scheme and the second order weak scheme, the leading coefficient of their global errors are determined by the stochastic Taylor expansion. Based on the error expression, the extrapolation technique can be applied to get a higher order convergence. Numerical examples are provided to compare various weak schemes and extrapolations. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000087745600001 |
| 出版者 | SIAM PUBLICATIONS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/15778]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Liu, XQ |
| 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 | Liu, XQ,Li, CW. Weak approximations and extrapolations of stochastic differential equations with jumps[J]. SIAM JOURNAL ON NUMERICAL ANALYSIS,2000,37(6):1747-1767. |
| APA | Liu, XQ,&Li, CW.(2000).Weak approximations and extrapolations of stochastic differential equations with jumps.SIAM JOURNAL ON NUMERICAL ANALYSIS,37(6),1747-1767. |
| MLA | Liu, XQ,et al."Weak approximations and extrapolations of stochastic differential equations with jumps".SIAM JOURNAL ON NUMERICAL ANALYSIS 37.6(2000):1747-1767. |
入库方式： OAI收割
来源：数学与系统科学研究院
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