The approximate Euler method for Lévy driven stochastic differential equations
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Publication:2485324
DOI10.1016/j.anihpb.2004.01.007zbMath1071.60046OpenAlexW4298203673MaRDI QIDQ2485324
Thomas G. Kurtz, Jean Jacod, Sylvie Méléard, Philip E. Protter
Publication date: 4 August 2005
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AIHPB_2005__41_3_523_0
stabilityrate of convergenceweak convergenceLévy processesapproximation schemeserror expansionEuler-Maruyama methodMonte Carlo approximation
Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30) Markov processes (60J99) Probabilistic methods, stochastic differential equations (65C99)
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