Jump-adapted discretization schemes for Lévy-driven SDEs
type: Item
instance of: scholarly article
title: Jump-adapted discretization schemes for Lévy-driven SDEs
zbMATH Open document ID: 1202.60113
author: Arturo Kohatsu-Higa
author: Peter Tankov
published in: Stochastic Processes and their Applications
publication date: 2010-11-19T00:00:00Z
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 60G51
zbMATH DE Number: 5817772
zbMATH Keywords: Lévy-driven stochastic differential equation
zbMATH Keywords: Euler scheme
zbMATH Keywords: jump-adapted discretization
zbMATH Keywords: weak approximation
zbMATH Keywords: Libor market model with jumps
MaRDI profile type: Publication
full work available at URL: j.spa.2010.07.001
OpenAlex ID: W2080665011
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DOI: 10.1016/J.SPA.2010.07.001
description: scientific article; zbMATH DE number 5817772