Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients.
Ziheng ChenSiqing GanPublished in: J. Comput. Appl. Math. (2020)
Keyphrases
- significant improvement
- computational cost
- convergence rate
- objective function
- diffusion process
- synthetic data
- preprocessing
- pairwise
- multiresolution
- experimental evaluation
- stability analysis
- basis functions
- weighting coefficients
- data sets
- bi directional
- high precision
- detection method
- markov chain
- state space
- dynamic programming