Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
The paper estimates the speed of convergence of the Euler approximation for diffussion processes with jump component which have Holder continuous coefficients.
|Date of creation:||01 Jun 2001|
|Publication status:||Published as: Kubilius, K. and Platen, E., 2002, "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps", Monte Carlo Methods and Applications, 8(1), 83-98.|
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- Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.