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Convergence of Solutions and Their Exit Times in Diffusion Models with Jumps

✍ Scribed by Moroz, A. G.; Tomashyk, V. V.

Book ID
125357439
Publisher
Springer US
Year
2014
Tongue
English
Weight
129 KB
Volume
50
Category
Article
ISSN
1573-8337

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In financial and actuarial modeling and other areas of application, stochastic differential equations with jumps have been employed to describe the dynamics of various state variables. The numerical solution of such equations is more complex than that of those only driven by Wiener processes, descri