Chien-Cheng Chang, Numerical Solution of Stochastic Differential Equations with Constant Diffusion Coefficients, Mathematics of Computation, Vol. 49, No. 180 (Oct., 1987), pp. 523-542 ...

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 ...