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P. LÖTSTEDT & L. R. PETZOLD, Numerical Solution of Nonlinear Differential Equations with Algebraic Constraints, SAND 83-8877, Sandia National Laboratories, Livermore, California, 1983. 23 J. F.
In this paper the Taylor expansions in the semi-group of conditional expectations are truncated to derive new efficient schemes for the numerical solution of jump-diffusion stochastic differential ...
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