Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes.

DOI10.1016/S0304-4149(03)00100-5zbMath1075.60538OpenAlexW2037748810MaRDI QIDQ2574601

Magnus Wiktorsson, Sylvain Rubenthaler

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(03)00100-5

zbMATH Keywords

subordinationconvergence ratenumerical approximationshot noise representation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction ⋮ Computation of the invariant measure for a Lévy driven SDE: Rate of convergence ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes

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