The Euler scheme for Lévy driven stochastic differential equations

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DOI10.1214/aop/1024404293zbMath0876.60030OpenAlexW1996705901MaRDI QIDQ1356347

Denis Talay, Philip E. Protter

Publication date: 18 November 1997

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

Full work available at URL: https://doi.org/10.1214/aop/1024404293

zbMATH Keywords

Lévy process Lévy measure Euler approximation Monte-Carlo simulation discrete time approximation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov processes (60J99) Probabilistic methods, stochastic differential equations (65C99)

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