The Euler scheme for Lévy driven stochastic differential equations: limit theorems.

DOI10.1214/009117904000000667zbMath1054.65008arXivmath/0410118OpenAlexW3100477476MaRDI QIDQ1878983

Publication date: 15 September 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0410118

zbMATH Keywords

rate of convergence stochastic differential equations limit theorems Lévy process Euler scheme error process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Functional limit theorems; invariance principles (60F17) Stochastic integral equations (60H20)

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Cites Work

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