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

DOI10.1515/MCMA.2002.8.1.83MaRDI QIDQ4331093zbMATH OpenOpenAlexFDO

Authors K. Kubilius, Eckhard Platen

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

zbMATH Keywords

convergenceWiener processweak solutiondiffusion processesEuler approximationstochastic integral equationPoisson 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)

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Cited in

(18)

• On the approximations of solutions to neutral SDEs with Markovian switching and jumps under non-Lipschitz conditions
• The Euler scheme for Feller processes
• Strong approximations of stochastic differential equations with jumps
• Weak Euler approximation for Itô diffusion and jump processes
• 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
• An optimization approach to weak approximation of stochastic differential equations with jumps
• Approximation of jump diffusions in finance and economics
• The Euler-Maruyama approximations for the CEV model
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• 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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