The Euler scheme for Lévy driven stochastic differential equations: limit theorems. (Q1878983): Difference between revisions

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.