An Euler-Poisson scheme for Lévy driven stochastic differential equations

DOI10.1017/JPR.2015.23zbMATH Open1337.60161OpenAlexW1670629114MaRDI QIDQ2804429FDOQ2804429

A. Ferreiro-Castilla, Robert Scheichl, A. E. Kyprianou

Publication date: 29 April 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1457470573

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zbMATH Keywords

stochastic differential equationsEuler-Poisson schemeLévy processmeromorphic Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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Cited In (8)

• Euler approximated solutions of hybrid stochastic differential equations perturbed by Lévy noise
• Approximate Euler Method for Parabolic Stochastic Partial Differential Equations Driven by Space-Time Lévy Noise
• Space-Time Approximation of Stochastic $p$-Laplace-Type Systems
• The approximate Euler method for Lévy driven stochastic differential equations
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• Structure-preserving methods for Marcus stochastic Hamiltonian systems with additive Lévy noise
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• Application of the lent particle method to Poisson-driven SDEs

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