Year: 1998
Author: Chunwah Li, Shengchang Wu, Xiaoqing Liu
Journal of Computational Mathematics, Vol. 16 (1998), Iss. 4 : pp. 375–384
Abstract
In the Stratonovich-Taylor and Stratonovich-Taylor-Hall discretization schemes for stochastic differential equations (SDEs), there appear two types of multiple stochastic integrals respectively. The present work is to approximate these multiple stochastic integrals by converting them into systems of simple SDEs and solving the systems by lower order numerical schemes. The reliability of this approach is clarified in theory and demonstrated in numerical examples. In consequence, the results are applied to the strong discretization of both continuous and jump SDEs.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/1998-JCM-9168
Journal of Computational Mathematics, Vol. 16 (1998), Iss. 4 : pp. 375–384
Published online: 1998-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 10
Keywords: Brownian motion Poisson process stochastic differential equation multiple stochastic integral strong discretization.