Approximation of stochastic differential equations driven by α-stable Lévy motion (Q3122805)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of stochastic differential equations driven by α-stable Lévy motion |
scientific article |
Statements
Approximation of stochastic differential equations driven by α-stable Lévy motion (English)
0 references
5 March 1997
0 references
stochastic differential equations with jumps
0 references
convergence of approximate solutions of stochastic differential equations
0 references
Skorokhod topology
0 references
computer simulations
0 references
Duffie-Harrison option pricing
0 references
