Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes
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References listed on IDEAS
- Barndorff-Nielsen, Ole E. & Pérez-Abreu, Victor, 1999. "Stationary and self-similar processes driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 84(2), pages 357-369, December.
- Rubenthaler, Sylvain, 2003. "Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process," Stochastic Processes and their Applications, Elsevier, vol. 103(2), pages 311-349, February.
- Marc Yor & Dilip B. Madan & Hélyette Geman, 2002. "Stochastic volatility, jumps and hidden time changes," Finance and Stochastics, Springer, vol. 6(1), pages 63-90.
- Hélyette Geman & Dilip B. Madan & Marc Yor, 2001. "Time Changes for Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 11(1), pages 79-96.
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- Panloup, Fabien, 2008. "Computation of the invariant measure for a Lévy driven SDE: Rate of convergence," Stochastic Processes and their Applications, Elsevier, vol. 118(8), pages 1351-1384, August.
More about this item
KeywordsStochastic differential equation Numerical approximation Convergence rate Lévy process Shot noise representation Subordination;
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