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.
- 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, pages 83-96.
- 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.
More about this item
KeywordsParabolic integro-differential equations; Weak Euler scheme; Approximate and jump-adapted Euler schemes;
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