Approximations for Solutions of Lévy-Type Stochastic Differential Equations

DOI10.1080/07362990903136447zbMath1180.60049arXiv1512.06572OpenAlexW2044941387MaRDI QIDQ3182402

Michał Baran

Publication date: 8 October 2009

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

Full work available at URL: https://arxiv.org/abs/1512.06572

zbMATH Keywords

Ito formulaEuler schemediscrete approximation schemeLévy-type differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random measures (60G57)

Related Items (3)

Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems ⋮ Asymptotic boundedness and stability of solutions to hybrid stochastic differential equations with jumps and the Euler-Maruyama approximation ⋮ An Euler–Poisson scheme for Lévy driven stochastic differential equations

Cites Work

• Unnamed Item
• Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
• The Euler scheme for Lévy driven stochastic differential equations
• Numerical methods for nonlinear stochastic differential equations with jumps
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps
• Lévy Processes and Stochastic Calculus
• Stochastic Partial Differential Equations with Levy Noise

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