High Order Weak Approximation Schemes for Lévy-Driven SDEs

DOI10.1007/978-3-642-27440-4_39zbMath1271.65020arXiv1012.5806OpenAlexW2117965454MaRDI QIDQ5326139

Peter Tankov

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.5806

zbMATH Keywords

convergencestochastic differential equationsLévy measurespure-jump Lévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

• Jump-adapted discretization schemes for Lévy-driven SDEs
• Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
• Tempering stable processes
• Strong approximations of stochastic differential equations with jumps
• The Euler scheme for Lévy driven stochastic differential equations
• Processes of normal inverse Gaussian type
• The approximate Euler method for Lévy driven stochastic differential equations
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• Adaptive Weak Approximation of Diffusions with Jumps
• Financial Modelling with Jump Processes