First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
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Publication:1019617
DOI10.1016/j.spa.2008.09.008zbMath1165.60326MaRDI QIDQ1019617
Publication date: 4 June 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2008.09.008
stochastic differential equation; Skorokhod topology; Lévy process; uniform tightness; first jump approximation; multivariate exponential COGARCH; uniformly controlled variations
60G51: Processes with independent increments; Lévy processes
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
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Cites Work
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