The Euler Scheme for Feller Processes

DOI10.1080/07362994.2011.610167zbMath1243.60058arXiv0911.5245OpenAlexW2949183674MaRDI QIDQ3114570

Björn Böttcher, Alexander Schnurr

Publication date: 19 February 2012

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

Full work available at URL: https://arxiv.org/abs/0911.5245

zbMATH Keywords

jump processesEuler schemeFeller processstochastic differential equations with jumpsSDE

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Potential operators (47G40)

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