Weak local linear discretizations for stochastic differential equations with jumps

Weak local linear discretizations for stochastic differential equations with jumps

F. Carbonell and J. C. Jimenez

Source: J. Appl. Probab. Volume 45, Number 1 (2008), 201-210.

Abstract

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.

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Primary Subjects: 60J75, 60H35

Secondary Subjects: 60J60

Keywords: Jump diffusion process; stochastic differential equation; numerical integration; local linearization; weak convergence

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Links and Identifiers

Permanent link to this document: http://projecteuclid.org/euclid.jap/1208358962
Digital Object Identifier: doi:10.1239/jap/1208358962
Mathematical Reviews number (MathSciNet): MR2409321
Zentralblatt MATH identifier: 1136.60359

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