The Euler scheme for Feller processes

DOI10.1080/07362994.2011.610167MaRDI QIDQ3114570zbMATH OpenOpenAlexFDO

Authors Björn Böttcher, Alexander Schnurr

Publication date 19 February 2012

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.5245

zbMATH Keywords

Euler schemeFeller processjump processesSDEstochastic differential equations with jumps

Mathematics Subject Classification ID

Potential operators (47G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Continuous-time Markov processes on general state spaces (60J25) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We consider the Euler scheme for stochastic differential equations with jumps, whose intensity might be infinite and the jump structure may depend on the position. This general type of SDE is explicitly given for Feller processes and a general convergence condition is presented. In particular the characteristic functions of the increments of the Euler scheme are calculated in terms of the symbol of the Feller process in a closed form. These increments are increments of L'evy processes and thus the Euler scheme can be used for simulation by applying standard techniques from L'evy processes.

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Cited in

(11)

• The Euler scheme with irregular coefficients
• Locally Feller processes and martingale local problems
• Euler scheme for density dependent stochastic differential equations
• Chernoff approximation for semigroups generated by killed Feller processes and Feynman formulae for time-fractional Fokker-Planck-Kolmogorov equations
• scientific article; zbMATH DE number 4074437 (Why is no real title available?)
• Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
• The method of Chernoff approximation
• On the Euler scheme for SDEs with jumps
• Deep ReLU neural networks overcome the curse of dimensionality for partial integrodifferential equations
• Euler scheme for solutions of a countable system of stochastic differential equations
• Algorithmic analysis of Euler scheme for a class of stochastic differential equations with jumps

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