The Euler scheme for Lévy driven stochastic differential equations (Q1356347)
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English | The Euler scheme for Lévy driven stochastic differential equations |
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The Euler scheme for Lévy driven stochastic differential equations (English)
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18 November 1997
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The paper considers the discrete time approximation of the solution of a stochastic differential equation that is driven by a Lévy process. It is shown that the Euler approximation converges under appropriate conditions in a weak sense to the solution of the given stochastic differential equation. If the Lévy measure has finite moments up to a certain order, then the typical rate of weak convergence has been shown. Otherwise the rate of convergence turns out to be smaller. The suggested Euler method is useful for Monte-Carlo simulation of solutions of specific integro-differential equations.
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discrete time approximation
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Lévy process
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Euler approximation
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Lévy measure
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Monte-Carlo simulation
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