Error Bounds for Small Jumps of Lévy Processes
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Publication:4915651
DOI10.1239/aap/1363354104zbMath1263.60044arXiv1009.4886MaRDI QIDQ4915651
Publication date: 11 April 2013
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.4886
60G51: Processes with independent increments; Lévy processes
65N15: Error bounds for boundary value problems involving PDEs
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Importance sampling and statistical Romberg method for Lévy processes, Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
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