An optimization approach to weak approximation of stochastic differential equations with jumps
نویسندگان
چکیده
منابع مشابه
A Weak Approximation of Stochastic Differential Equations with Jumps through Tempered Polynomial Optimization
We present an optimization approach to the weak approximation of a general class of stochastic differential equations with jumps, in particular, when value functions with compact support are considered. Our approach employs a mathematical programming technique yielding upper and lower bounds of the expectation, without Monte Carlo sample paths simulations, based upon the exponential tempering o...
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ژورنال
عنوان ژورنال: Applied Numerical Mathematics
سال: 2011
ISSN: 0168-9274
DOI: 10.1016/j.apnum.2010.10.012