Numerical Solution of Stochastic Differential Equations with Jumps in Finance

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Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise (2011, unknown): “, [20, 35, 39, 42] and the references therein.”
On the exact and ε-strong simulation of (jump) diffusions (2013, background): “Diffusion sample paths can be simulated approximately at a finite collection of time points by discretisation [21, 24, 30], noting that as Brownian motion has a Gaussian transition density then over short intervals the transition density of (1) can be approximated by one with fixed coefficients (by ”
Comparative Analysis of the Efficiency of Application of Legendre Polynomials and Trigonometric Functions to the Numerical Integration of Ito Stochastic Differential Equations (2018, unknown): “The analogue of (65) has been derived in [49]-[51], [53] on the base of the Milstein approach [48].”