Implicit numerical simulation of stochastic differential equations with jumps
Implicit numerical methods such as the stochastic theta-method offer a practical way to approximate solutions of stochastic differential equations. The method involves a parameter, θ, which is freely chosen. In this thesis, we investigate strong convergence and linear stability, both mean-square and...
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University of Strathclyde
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.501657 |