Simulation and approximation of Lévy-driven stochastic differential equations

DOI10.1051/ps/2009017zbMath1273.60080arXiv0901.3082OpenAlexW2019177009MaRDI QIDQ4918491

Nicolas Fournier

Publication date: 25 April 2013

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.3082

zbMATH Keywords

stochastic differential equationMonte Carlo methodEuler methodLévy processWasserstein distance

Mathematics Subject Classification ID

Related Items (21)

Regularity and stability for the semigroup of jump diffusions with state-dependent intensity ⋮ Approximation and simulation of infinite-dimensional Lévy processes ⋮ Multilevel MC method for weak approximation of stochastic differential equation with the exact coupling scheme ⋮ Stochastic SIS epidemic model on network with Lévy noise ⋮ Wasserstein and total variation distance between marginals of Lévy processes ⋮ The implementation of Milstein scheme in two-dimensional SDEs using the Fourier method ⋮ Nonnormal Small Jump Approximation of Infinitely Divisible Distributions ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ The implementation of approximate coupling in two-dimensional SDEs with invertible diffusion terms ⋮ Normal approximation of the solution to the stochastic heat equation with Lévy noise ⋮ A dynamics stochastic model with HIV infection of CD4\(^+\) T-cells driven by Lévy noise ⋮ A multi-dimensional central limit bound and its application to the euler approximation for Lévy-SDEs ⋮ Implementable coupling of Lévy process and Brownian motion ⋮ Asymptotic of grazing collisions and particle approximation for the Kac equation without Cutoff ⋮ Dynamics of a stochastic multi-strain SIS epidemic model driven by Lévy noise ⋮ THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM ⋮ Simulations for Karlin random fields ⋮ Stochastic analysis of COVID-19 by a SEIR model with Lévy noise ⋮ Algebraic structures and stochastic differential equations driven by Lévy processes ⋮ Total variation distance between a jump-equation and its Gaussian approximation ⋮ A stochastic model of HIV infection incorporating combined therapy of HAART driven by Lévy jumps

This page was built for publication: Simulation and approximation of Lévy-driven stochastic differential equations