2008
DOI: 10.1239/jap/1208358962
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Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps

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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Cited by 7 publications
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