Article contents
Local Linear Approximations of Jump Diffusion Processes
Published online by Cambridge University Press: 14 July 2016
Abstract
Local linear approximations have been the main component in the construction of a class of effective numerical integrators and inference methods for diffusion processes. In this note, two local linear approximations of jump diffusion processes are introduced as a generalization of the usual ones. Their rate of uniform strong convergence is also studied.
Keywords
MSC classification
- Type
- Research Papers
- Information
- Copyright
- © Applied Probability Trust 2006
Footnotes
Partially supported by the research grant 03-059 RG/MATHS/LA from the ThirdWorld Academy of Science.
References
- 5
- Cited by