APPROXIMATIONS FOR JUMP-DIFFUSION PROCESSES WITH NON-LIPSCHITZIAN COEFFICIENTS

APPROXIMATIONS FOR JUMP-DIFFUSION PROCESSES WITH NON-LIPSCHITZIAN COEFFICIENTS

In this work, we consider Euler approxiamtion for one-dimensional jump-diffusion processes under Yamada-Watanabe type conditions on the coefficients which turns out to converge to the strong solution in uniform $L^1$-sense.

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Veröffentlicht in:Taehan Suhakhoe hoebo 1998, Vol.35 (4), p.837-845
Hauptverfasser: Hong, Do-Won, Wee, In-Suk
Format: Artikel
Sprache:kor
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Zusammenfassung:In this work, we consider Euler approxiamtion for one-dimensional jump-diffusion processes under Yamada-Watanabe type conditions on the coefficients which turns out to converge to the strong solution in uniform $L^1$-sense.
ISSN:1015-8634