Randomized Milstein algorithm for approximation of solutions of jump–diffusion SDEs
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| Veröffentlicht in: | Journal of computational and applied mathematics Jg. 440; S. 115631 |
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| Hauptverfasser: | , , |
| Format: | Journal Article |
| Sprache: | Englisch |
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01.04.2024
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| ISSN: | 0377-0427 |
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| ArticleNumber | 115631 |
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| Author | Szölgyenyi, Michaela Schwarz, Verena Przybyłowicz, Paweł |
| Author_xml | – sequence: 1 givenname: Paweł surname: Przybyłowicz fullname: Przybyłowicz, Paweł – sequence: 2 givenname: Verena orcidid: 0000-0003-4287-5262 surname: Schwarz fullname: Schwarz, Verena – sequence: 3 givenname: Michaela surname: Szölgyenyi fullname: Szölgyenyi, Michaela |
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| Cites_doi | 10.1016/j.cam.2020.113112 10.1016/j.spl.2021.109072 10.1137/21M1442747 10.2140/pjm.1972.41.33 10.4310/CMS.2018.v16.n8.a4 10.1016/j.jmaa.2018.12.077 10.1016/j.cam.2017.04.023 10.1006/jcom.2001.0576 10.1016/j.apnum.2013.12.003 10.1007/s11075-016-0097-8 10.1016/j.cam.2015.01.003 |
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| References | Eisenmann (10.1016/j.cam.2023.115631_b10) 2018; 16 Hertling (10.1016/j.cam.2023.115631_b17) 2001; 17 Heinrich (10.1016/j.cam.2023.115631_b11) 2019; 476 Traub (10.1016/j.cam.2023.115631_b16) 1988 Przybyłowicz (10.1016/j.cam.2023.115631_b18) 2016; 73 Platen (10.1016/j.cam.2023.115631_b1) 2010 Morkisz (10.1016/j.cam.2023.115631_b5) 2014; 78 Morkisz (10.1016/j.cam.2023.115631_b12) 2021; 383 Przybyłowicz (10.1016/j.cam.2023.115631_b3) 2021; 174 Kruse (10.1016/j.cam.2023.115631_b13) 2019; 24 Clark (10.1016/j.cam.2023.115631_b15) 1980 Przybyłowicz (10.1016/j.cam.2023.115631_b2) 2021; 403 Przybyłowicz (10.1016/j.cam.2023.115631_b8) 2015; 270 Situ (10.1016/j.cam.2023.115631_b4) 2005 Kunita (10.1016/j.cam.2023.115631_b24) 2004 Przybyłowicz (10.1016/j.cam.2023.115631_b9) 2022; 60 Brooks (10.1016/j.cam.2023.115631_b22) 1972; 41 Biswas (10.1016/j.cam.2023.115631_b14) 2022 Protter (10.1016/j.cam.2023.115631_b20) 2005 Morkisz (10.1016/j.cam.2023.115631_b6) 2017; 324 Kałuza (10.1016/j.cam.2023.115631_b21) 2020 Müller-Gronbach (10.1016/j.cam.2023.115631_b19) 2020 Przybyłowicz (10.1016/j.cam.2023.115631_b7) 2015; 282 Novak (10.1016/j.cam.2023.115631_b23) 1988; vol. 1349 |
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