Jump-adapted discretization schemes for Lévy-driven SDEs

DOI10.1016/j.spa.2010.07.001zbMath1202.60113OpenAlexW2080665011MaRDI QIDQ607278

Peter Tankov, Arturo Kohatsu-Higa

Publication date: 19 November 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.07.001

zbMATH Keywords

weak approximationEuler schemeLévy-driven stochastic differential equationjump-adapted discretizationLibor market model with jumps

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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