Approximation of stochastic differential equations driven by α-stable Lévy motion

DOI10.4064/am-24-2-149-168zbMath0879.60059OpenAlexW1489341301MaRDI QIDQ3122805

Aleksander Janicki, Aleksander Weron, Zbigniew Michna

Publication date: 5 March 1997

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/219159

zbMATH Keywords

Skorokhod topologycomputer simulationsstochastic differential equations with jumpsconvergence of approximate solutions of stochastic differential equationsDuffie-Harrison option pricing

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov processes (60J99)

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