On the rate of convergence of weak Euler approximation for nondegenerate SDEs driven by Lévy processes
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References listed on IDEAS
- Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1.
- Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kubilius Kestutis & Platen Eckhard, 2002.
"Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps,"
Monte Carlo Methods and Applications,
De Gruyter, vol. 8(1), pages 83-96, December.
- Kestutis Kubilius & Eckhard Platen, 2001. "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Research Paper Series 54, Quantitative Finance Research Centre, University of Technology, Sydney.
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- repec:eee:spapps:v:127:y:2017:i:8:p:2542-2559 is not listed on IDEAS
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KeywordsLevy processes Stochastic differential equations Weak Euler approximation;
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