Monte Carlo Simulation of Reflected Stochastic Differential Equations driven by Poisson Random Measures (Q4484730)
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scientific article; zbMATH DE number 1452825
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| English | Monte Carlo Simulation of Reflected Stochastic Differential Equations driven by Poisson Random Measures |
scientific article; zbMATH DE number 1452825 |
Statements
Monte Carlo Simulation of Reflected Stochastic Differential Equations driven by Poisson Random Measures (English)
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22 November 2000
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Monte Carlo methods
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reflected stochastic differential equations driven by quasi stable Levy processes
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Euler method for jump diffusions simulation of Levy processes
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simulation of local time
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weak-type convergence rates
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0.7707082629203796
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0.770268440246582
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0.7616021633148193
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0.7587417960166931
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