Error Bounds for Small Jumps of Lévy Processes

DOI10.1239/aap/1363354104zbMath1263.60044arXiv1009.4886MaRDI QIDQ4915651

El Hadj Aly Dia

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

zbMATH Keywords

Lévy process; Skorokhod embedding; Spitzer identity; approximation of small jumps

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

65N15: Error bounds for boundary value problems involving PDEs

Related Items

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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