Approximations for Solutions of Lévy-Type Stochastic Differential Equations Export

@article{citeulike:5627127, abstract = {The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed for L\'{e}vy-type stochastic differential equation. In particular, the article generalizes the results from [2, 5]. The Euler and the Milstein schemes are shown for finite and infinite L\'{e}vy measure.}, author = {Baran, Micha\ł}, citeulike-article-id = {5627127}, citeulike-linkout-0 = {http://dx.doi.org/10.1080/07362990903136447}, doi = {10.1080/07362990903136447}, journal = {Stochastic Analysis and Applications}, keywords = {approximation, differential\_equations, method, stochastic}, number = {5}, pages = {924--961}, posted-at = {2009-08-23 14:38:56}, priority = {2}, publisher = {Taylor \& Francis}, title = {Approximations for Solutions of L\'{e}vy-Type Stochastic Differential Equations}, url = {http://dx.doi.org/10.1080/07362990903136447}, volume = {27}, year = {2009} }

TY - JOUR ID - citeulike:5627127 L3 - citeulike-article-id:5627127 N2 - The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed for Lévy-type stochastic differential equation. In particular, the article generalizes the results from [2, 5]. The Euler and the Milstein schemes are shown for finite and infinite Lévy measure. IS - 5 JF - Stochastic Analysis and Applications EP - 961 TI - Approximations for Solutions of Lévy-Type Stochastic Differential Equations PB - Taylor & Francis VL - 27 SP - 924 KW - approximation KW - differential_equations KW - method KW - stochastic AU - Baran, Michał PY - 2009/// UR - http://dx.doi.org/10.1080/07362990903136447 ER -