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Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps

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  • Wu, Shujin
  • Han, Dong

Abstract

A kind of stochastic differential equations with jumps are offered first, then the Euler scheme for these equations are present, at last their continuous dependence on initial value and convergence are studied.

Suggested Citation

  • Wu, Shujin & Han, Dong, 2007. "Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps," Statistics & Probability Letters, Elsevier, vol. 77(2), pages 211-219, January.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:2:p:211-219
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    References listed on IDEAS

    as
    1. Lépingle, D., 1995. "Euler scheme for reflected stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 119-126.
    2. Hofmann, Norbert, 1995. "Stability of weak numerical schemes for stochastic differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 63-68.
    3. Shoji, Isao, 1997. "A note on asymptotic properties of the estimator derived from the Euler method for diffusion processes at discrete times," Statistics & Probability Letters, Elsevier, vol. 36(2), pages 153-159, December.
    4. San Martín, Jaime & Torres, Soledad, 2001. "Euler scheme for solutions of a countable system of stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 54(3), pages 251-259, October.
    5. Bally, Vlad & Talay, Denis, 1995. "The Euler scheme for stochastic differential equations: error analysis with Malliavin calculus," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 38(1), pages 35-41.
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