The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps

By A. Gardon. 2004

77 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/9a8fa43354eead24166cfe28323ae985f90b76d2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Computational Theory and Mathematics

1. Nicola Bruti-Liberati
2. Eckhard Platen
3. V. Todorov

In Finance

1. Nicola Bruti-Liberati
2. Eckhard Platen
3. Renata Rendek
4. V. Todorov
5. K. Fergusson
6. D. Heath

In Numerical Analysis

1. Nicola Bruti-Liberati
2. Eckhard Platen

Citations in the corpus

• Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010, unknown): “5 • Jacod & Protter (1998) =⇒ Euler scheme for semimartingales • Gardoǹ (2004) =⇒ γ ∈ {0.”
• Strong approximations of stochastic differential equations with jumps (2007, methodology): “Gardoǹ [6] presents a convergence theorem for strong Taylor schemes of any given strong order ∈ {0.”