The Euler scheme for Lévy driven stochastic differential equations (Q1356347)

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scientific article; zbMATH DE number 1018395
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The Euler scheme for Lévy driven stochastic differential equations
scientific article; zbMATH DE number 1018395

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    The Euler scheme for Lévy driven stochastic differential equations (English)
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    18 November 1997
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    The paper considers the discrete time approximation of the solution of a stochastic differential equation that is driven by a Lévy process. It is shown that the Euler approximation converges under appropriate conditions in a weak sense to the solution of the given stochastic differential equation. If the Lévy measure has finite moments up to a certain order, then the typical rate of weak convergence has been shown. Otherwise the rate of convergence turns out to be smaller. The suggested Euler method is useful for Monte-Carlo simulation of solutions of specific integro-differential equations.
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    discrete time approximation
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    Lévy process
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    Euler approximation
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    Lévy measure
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    Monte-Carlo simulation
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