Efficient approximate solution of jump–diffusion SDEs via path-dependent adaptive step-size control

出版年份 2018 全文链接

标题

作者

关键词

Jump–diffusion SDEs, Homogeneous Poisson process, Wiener process, Merton’s model, Adaptive step-size control, Random discretization

出版物

Volume 350, Issue -, Pages 396-411

出版商

Elsevier BV

发表日期

2018-11-06

DOI

10.1016/j.cam.2018.10.050

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