Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process. (Q2574545): Difference between revisions

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-Sylvain Rubenthaler
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+Sylvain Rubenthaler
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+MaRDI publication profile
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+The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function
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+The Law of the Euler Scheme for Stochastic Differential Equations: II. Convergence Rate of the Density
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+École d'été de probabilités de Saint-Flour XIII - 1983
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+Asymptotic error distributions for the Euler method for stochastic differential equations
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+Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
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+Weak limit theorems for stochastic integrals and stochastic differential equations
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+The Euler scheme for Lévy driven stochastic differential equations
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+Expansion of the global error for numerical schemes solving stochastic differential equations
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+Stability of strong solutions of stochastic differential equations
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