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Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps

Part of: Stochastic analysis Markov processes

Published online by Cambridge University Press:  14 July 2016

F. Carbonell  and
J. C. Jimenez
F. Carbonell*
Affiliation:
Instituto de Cibernética
J. C. Jimenez*
Affiliation:
Instituto de Cibernética
*
∗Current address: The Department of Mathematics and Statistics, McGill University, 805 Sherbrooke Street West, Montreal, Quebec, Canada, H3A 2K6. Email address: carbonell@math.mcgill.ca
∗∗Postal address: Departamento de Matemática Interdisciplinaria, Instituto de Cibernética, Matemática y Física, Calle 15, No. 551, e/C y D, Vedado, La Habana 4, C.P. 10400, Cuba.
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Abstract

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Weak local linear approximations have played a prominent role in the construction of effective inference methods and numerical integrators for stochastic differential equations. In this note two weak local linear approximations for stochastic differential equations with jumps are introduced as a generalization of previous ones. Their respective order of convergence is obtained as well.

Keywords

Jump diffusion processstochastic differential equationnumerical integrationlocal linearizationweak convergence

MSC classification

Secondary: 60J75: Jump processes 60H35: Computational methods for stochastic equations 60J60: Diffusion processes
Type
Research Article
Information
Journal of Applied Probability , Volume 45 , Issue 1 , March 2008 , pp. 201 - 210
Copyright
Copyright © Applied Probability Trust 2008 

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