Francoise Chatelin, The Spectral Approximation of Linear Operators with Applications to the Computation of Eigenelements of Differential and Integral Operators, SIAM Review, Vol. 23, No. 4 (Oct., 1981 ...

Numerical discretization schemes are developed to approximate functionals of stochastic differential equations with jumps, and the convergence is shown to have an appropriate order. For the Euler ...