First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes

DOI10.1016/j.spa.2008.09.008zbMath1165.60326MaRDI QIDQ1019617

Robert Stelzer

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

zbMATH Keywords

stochastic differential equation; Skorokhod topology; Lévy process; uniform tightness; first jump approximation; multivariate exponential COGARCH; uniformly controlled variations

Mathematics Subject Classification ID

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)

Related Items

MULTIVARIATE ECOGARCH PROCESSES

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