An Euler–Poisson scheme for Lévy driven stochastic differential equations

DOI10.1017/jpr.2015.23zbMath1337.60161OpenAlexW1670629114MaRDI QIDQ2804429

Albert Ferreiro-Castilla, Andreas E. Kyprianou, Robert Scheichl

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

zbMATH Keywords

stochastic differential equationsLévy processEuler-Poisson schememeromorphic 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)

Related Items (1)

Space-Time Approximation of Stochastic $p$-Laplace-Type Systems

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