Approximations for Solutions of Lévy-Type Stochastic Differential Equations
type: Item
instance of: scholarly article
title: Approximations for Solutions of Lévy-Type Stochastic Differential Equations
zbMATH Open document ID: 1180.60049
DOI: 10.1080/07362990903136447
author: M. Baran
published in: Stochastic Analysis and Applications
publication date: 2009-10-08T00:00:00Z
full work available at URL: https://arxiv.org/abs/1512.06572
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60G57
zbMATH DE Number: 5611031
zbMATH Keywords: discrete approximation scheme
zbMATH Keywords: Lévy-type differential equations
zbMATH Keywords: Euler scheme
zbMATH Keywords: Ito formula
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2044941387
arXiv ID: 1512.06572
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cites work: Stochastic Partial Differential Equations with Levy Noise
cites work: Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process.
cites work: Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
cites work: The Euler scheme for Lévy driven stochastic differential equations
description: scientific article