Jump-adapted discretization schemes for Lévy-driven SDEs (Q607278): Difference between revisions

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-.1016/j.spa.2010.07.001
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@@ Property / cites work @@
+Approximations of small jumps of Lévy processes with a view towards simulation
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
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+Strong approximations of stochastic differential equations with jumps
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+Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
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+Financial Modelling with Jump Processes
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+On the Hellinger type distances for filtered experiments
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+The Lévy LIBOR model
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+The Term Structure of Simple Forward Rates with Jump Risk
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+Solving Ordinary Differential Equations I
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+The approximate Euler method for Lévy driven stochastic differential equations
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+The Euler scheme for Lévy driven stochastic differential equations
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+Tempering stable processes
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+Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
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+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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@@ Property / DOI @@
+.1016/J.SPA.2010.07.001
@@ Property / DOI: 10.1016/J.SPA.2010.07.001 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:607278