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

Shujin Wu; Dong Han

doi:10.1016/j.spl.2004.10.038

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

Shujin Wu^*
, Dong Han

^*Corresponding author for this work

School of Statistics

Shanghai Jiao Tong University

Research output: Contribution to journal › Article › peer-review

3 Scopus citations

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.

Original language	English
Pages (from-to)	211-219
Number of pages	9
Journal	Statistics and Probability Letters
Volume	77
Issue number	2
DOIs	https://doi.org/10.1016/j.spl.2004.10.038
State	Published - 15 Jan 2007

Keywords

Continuous dependence on initial value
Convergence
Euler scheme
Stochastic difference equation
Stochastic differential equation with jumps

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10.1016/j.spl.2004.10.038

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title = "Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps",

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.",

keywords = "Continuous dependence on initial value, Convergence, Euler scheme, Stochastic difference equation, Stochastic differential equation with jumps",

author = "Shujin Wu and Dong Han",

year = "2007",

month = jan,

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doi = "10.1016/j.spl.2004.10.038",

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T1 - Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps

AU - Wu, Shujin

AU - Han, Dong

PY - 2007/1/15

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N2 - 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.

AB - 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.

KW - Continuous dependence on initial value

KW - Convergence

KW - Euler scheme

KW - Stochastic difference equation

KW - Stochastic differential equation with jumps

UR - https://www.scopus.com/pages/publications/33751012394

U2 - 10.1016/j.spl.2004.10.038

DO - 10.1016/j.spl.2004.10.038

M3 - 文章

AN - SCOPUS:33751012394

SN - 0167-7152

VL - 77

SP - 211

EP - 219

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 2

ER -

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

Abstract

Keywords

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