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Stochastics and Stochastic Reports Volume 60, 1997 - Issue 1-2
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Original Articles

Discretization of stochastic differential equations by the product expansion for the chen series

X.Q. Liu Department of Mathematics, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong
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C. W. Li Department of Mathematics, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong
Pages 23-40 | Published online: 02 May 2007

Citations (3)

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Read on this site (1)

C. W. Li & X. Q. Liu. (1997) Algebraic structure of multiple stochastic integrals with respect to brownian motions and poisson processes. Stochastics and Stochastic Reports 61:1-2, pages 107-120.
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Articles from other publishers (2)

X.Q. Liu & C.W. Li. (1999) Product expansion for stochastic jump diffusions and its application to numerical approximation. Journal of Computational and Applied Mathematics 108:1-2, pages 1-17.
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Eckhard Platen. (2008) An introduction to numerical methods for stochastic differential equations. Acta Numerica 8, pages 197-246.
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