The Euler scheme for Lévy driven stochastic differential equations: limit theorems. (Q1878983): Difference between revisions
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Revision as of 22:37, 18 April 2024
scientific article
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| English | The Euler scheme for Lévy driven stochastic differential equations: limit theorems. |
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The Euler scheme for Lévy driven stochastic differential equations: limit theorems. (English)
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15 September 2004
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The author studies the Euler scheme for the discrete time approximation of stochastic differential equations driven by Lévy processes. It provides limit theorems for the rate of convergence when a normalized error process is used. Nontrivial limits for the normalized error process are identified for various important cases. These include symmetric stable processes and other stable processes.
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Euler scheme
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Lévy process
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rate of convergence
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stochastic differential equations
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limit theorems
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error process
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