Computer simulation of diffusions driven by \(\alpha\)-stable Lévy motion

DOI10.1016/0378-4754(93)E0071-CzbMath0824.60082MaRDI QIDQ1897661

Aleksander Janicki

Publication date: 6 November 1995

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

computer simulationstable Lévy motiondiffusions with jumpsestimation techniquesnumerical discretization methodsstable random measuresstochastic integrals and differential equations with stable integrators

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60)

Cites Work

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• Discretization and simulation of stochastic differential equations
• Stability theorem for stochastic differential equations with jumps
• Weak limit theorems for stochastic integrals and stochastic differential equations
• [https://portal.mardi4nfdi.de/wiki/Publication:4151488 Sur l'approximation des solutions d'�quations diff�rentielles stochastiques]

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