The approximate Euler method for Lévy driven stochastic differential equations
نویسندگان
چکیده
منابع مشابه
The approximate Euler method for Lévy driven stochastic differential equations
This paper is concerned with the numerical approximation of the expected value IE(g(Xt)), where g is a suitable test function and X is the solution of a stochastic differential equation driven by a Lévy process Y . More precisely we consider an Euler scheme or an “approximate” Euler scheme with stepsize 1/n, giving rise to a simulable variable Xn t , and we study the error δn(g) = IE(g(X n t ))...
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ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincare (B) Probability and Statistics
سال: 2005
ISSN: 0246-0203
DOI: 10.1016/j.anihpb.2004.01.007