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Successive approximation to solutions of stochastic differential equations with jumps in local non-Lipschitz conditions

✍ Scribed by Wang, Lasheng; Cheng, Tao; Zhang, Qimin


Book ID
121317286
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
348 KB
Volume
225
Category
Article
ISSN
0096-3003

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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