Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.

DOI10.1016/S0304-4149(02)00191-6zbMath1075.60526WikidataQ115339256 ScholiaQ115339256MaRDI QIDQ2574545

Sylvain Rubenthaler

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

limit theoremsEuler scheme

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (30)

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Cites Work

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• Asymptotic error distributions for the Euler method for stochastic differential equations
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