Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps

DOI10.1515/MCMA.2002.8.1.83zbMATH Open0996.65003OpenAlexW2070295875MaRDI QIDQ4331093FDOQ4331093

Publication date: 14 May 2002

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2002.8.1.83

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convergence Wiener process weak solution diffusion processes Euler approximation stochastic integral equation Poisson martingale measure

Mathematics Subject Classification ID

Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

Cited In (18)

The Euler scheme for Feller processes
On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
Weak Euler approximation for Itô diffusion and jump processes
Strong approximations of stochastic differential equations with jumps
Strong convergence of the tamed Euler method for stochastic differential equations with piecewise continuous arguments and Poisson jumps
The Euler-Maruyama approximation for the absorption time of the CEV diffusion
Convergence of a discretization scheme for jump-diffusion processes with state–dependent intensities
Rate of convergence of the distribution of semimartingales to the distribution of a diffusion process with jumps. I
Runge-Kutta methods for jump-diffusion differential equations
On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
Approximation of jump diffusions in finance and economics
An optimization approach to weak approximation of stochastic differential equations with jumps
Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
The Euler-Maruyama approximations for the CEV model
Weak Local Linear Discretizations for Stochastic Differential Equations with Jumps
Using Stein's method to analyze Euler-Maruyama approximations of regime-switching jump diffusion processes

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