An Euler-Poisson scheme for Lévy driven stochastic differential equations

DOI10.1017/JPR.2015.23MaRDI QIDQ2804429zbMATH OpenOpenAlexFDO

Authors A. Ferreiro-Castilla, A. 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 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)

Recommendations

• The approximate Euler method for Lévy driven stochastic differential equations
• The Euler scheme for Lévy driven stochastic differential equations
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• Simulation and approximation of Lévy-driven stochastic differential equations
• Optimal simulation schemes for Lévy driven stochastic differential equations

Cites work

• scientific article; zbMATH DE number 47670 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• scientific article; zbMATH DE number 3064515 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
• A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
• Approximations for Solutions of Lévy-Type Stochastic Differential Equations
• Approximations of small jumps of Lévy processes with a view towards simulation
• Financial Modelling with Jump Processes
• Meromorphic Lévy processes and their fluctuation identities
• Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
• Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• Optimal simulation schemes for Lévy driven stochastic differential equations
• Pricing contingent claims on stocks driven by Lévy processes
• Randomization and the American put
• The Euler scheme for Lévy driven stochastic differential equations
• The \(\beta \)-variance gamma model
• The \(\beta\)-Meixner model
• The approximate Euler method for Lévy driven stochastic differential equations
• Theory of stochastic differential equations with jumps and applications.
• Wavelet Galerkin pricing of American options on Lévy driven assets
• Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes

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

This page was built for publication: An Euler-Poisson scheme for Lévy driven stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2804429)