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Regular Strong Itô Approximations

  • Eckhard PlatenEmail author
  • Nicola Bruti-Liberati
Chapter
  • 4.7k Downloads
Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 64)

Abstract

In this chapter we describe strong approximations on a regular time discretization that are more general than the regular strong Taylor approximations presented in the previous chapter. These approximations belong to the class of regular strong Itô schemes, which includes derivative-free, implicit and predictor-corrector schemes. More details on some of the results to be presented in this chapter can be found in Bruti-Liberati, Nikitopoulos-Sklibosios & Platen (2006) and Bruti-Liberati & Platen (2008).

Keywords

Gaussian Random Variable Implicit Scheme Multiplicative Noise Euler Scheme Strong Order 
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References

  1. Bruti-Liberati, N., Nikitopoulos-Sklibosios, C. & Platen, E. (2006). First order strong approximations of jump diffusions, Monte Carlo Methods Appl. 12(3-4): 191–209. zbMATHCrossRefMathSciNetGoogle Scholar
  2. Bruti-Liberati, N. & Platen, E. (2008). Strong predictor-corrector Euler methods for stochastic differential equations, Stochastics and Dynamics 8(3): 561–581. zbMATHCrossRefMathSciNetGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.School of Finance and Economics, Department of Mathematical SciencesUniversity of Technology, SydneyBroadwayAustralia

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