Optimal simulation schemes for Lévy driven stochastic differential equations

DOI10.1090/S0025-5718-2013-02786-XzbMath1310.60055arXiv1204.4877OpenAlexW1969587884MaRDI QIDQ3189423

Peter Tankov, Salvador Ortiz-Latorre, Arturo Kohatsu-Higa

Publication date: 10 September 2014

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.4877

zbMATH Keywords

regular variationLévy measureweak approximationshigh order discretization schemesLévy driven stochastic differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*, Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation, Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures, Numerical aspects of shot noise representation of infinitely divisible laws and related processes, An Euler–Poisson scheme for Lévy driven stochastic differential equations, Total variation distance between a jump-equation and its Gaussian approximation, Weak Euler Approximation for Itô Diffusion and Jump Processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A new extrapolation method for weak approximation schemes with applications
• Jump-adapted discretization schemes for Lévy-driven SDEs
• Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
• Strong approximations of stochastic differential equations with jumps
• The Euler scheme for Lévy driven stochastic differential equations
• An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEs
• Monte Carlo option pricing for tempered stable (CGMY) processes
• The approximate Euler method for Lévy driven stochastic differential equations
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• Approximations of small jumps of Lévy processes with a view towards simulation
• Efficient and Practical Implementations of Cubature on Wiener Space
• Cubature on Wiener space
• Adaptive Weak Approximation of Diffusions with Jumps
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• Lévy Processes and Stochastic Calculus
• High Order Weak Approximation Schemes for Lévy-Driven SDEs