On the rate of convergence of simple and jump-adapted weak Euler schemes for Lévy driven SDEs
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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, June.
- Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kohatsu-Higa, Arturo & Tankov, Peter, 2010. "Jump-adapted discretization schemes for Lévy-driven SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(11), pages 2258-2285, November.
- 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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KeywordsParabolic integro-differential equations; Weak Euler scheme; Approximate and jump-adapted Euler schemes;
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