Jump-adapted discretization schemes for Lévy-driven SDEs

DOI10.1016/J.SPA.2010.07.001MaRDI QIDQ607278zbMATH OpenOpenAlexFDO

Authors Arturo Kohatsu-Higa, Peter Tankov

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

Euler schemeweak approximationjump-adapted discretizationLibor market model with jumpsLévy-driven stochastic differential equation

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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Cites work

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• scientific article; zbMATH DE number 1239549 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
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• Financial Modelling with Jump Processes
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• Monte Carlo option pricing for tempered stable (CGMY) processes
• Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
• On the Hellinger type distances for filtered experiments
• Processes of normal inverse Gaussian type
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• Strong approximations of stochastic differential equations with jumps
• Tempering stable processes
• The Euler scheme for Lévy driven stochastic differential equations
• The Lévy LIBOR model
• The Term Structure of Simple Forward Rates with Jump Risk
• The approximate Euler method for Lévy driven stochastic differential equations

Cited in

(38)

• Total variation distance between a jump-equation and its Gaussian approximation
• Deep learning schemes for parabolic nonlocal integro-differential equations
• Hellinger and total variation distance in approximating Lévy driven SDEs
• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
• Nonnormal small jump approximation of infinitely divisible distributions
• First Order Strong Approximations of Jump Diffusions
• Runge-Kutta methods for jump-diffusion differential equations
• Quantification of model risk in quadratic hedging in finance
• Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*
• Convergence of weak Euler approximation for nondegenerate stochastic differential equations driven by point and martingale measures
• High order weak approximation schemes for Lévy-driven SDEs
• Normal approximation of the solution to the stochastic heat equation with Lévy noise
• Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation
• Strong approximations of stochastic differential equations with jumps
• Optimal simulation schemes for Lévy driven stochastic differential equations
• Approximate option pricing in the Lévy Libor model
• Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)
• Discrete time approximation of BSDEs driven by a Lévy process
• Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
• Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
• Weak Euler approximation for Itô diffusion and jump processes
• Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes
• Efficient approximate solution of jump-diffusion SDEs via path-dependent adaptive step-size control
• Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
• Weak Euler scheme for Lévy-driven stochastic differential equations
• Approximation of stochastic integrals with jumps via weighted BMO approach
• On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
• Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
• Importance sampling and statistical Romberg method for Lévy processes
• Monte Carlo method for parabolic equations involving fractional Laplacian
• Asymptotic results for time-changed Lévy processes sampled at hitting times
• Pricing of spread options on a bivariate jump market and stability to model risk
• On weak predictor-corrector schemes for jump-diffusion processes in finance
• Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps
• Strong Convergence of Jump-Adapted Implicit Milstein Method for a Class of Nonlinear Jump-Diffusion Problems

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