Optimal global approximation of jump-diffusion SDEs via path-independent step-size control

出版年份 2018 全文链接

标题

作者

关键词

SDEs with jumps, Nonhomogeneous Poisson process, Wiener process, Minimal error, Adaptive step-size control, Asymptotically optimal algorithm

出版物

Volume 128, Issue -, Pages 24-42

出版商

Elsevier BV

发表日期

2018-02-03

DOI

10.1016/j.apnum.2018.01.024

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