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|
|Date of revision:|
|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.|
|Contact details of provider:|| Postal: |
Phone: +61 2 9514 7777
Fax: +61 2 9514 7711
Web page: http://www.qfrc.uts.edu.au/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
When requesting a correction, please mention this item's handle: RePEc:uts:rpaper:54. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford)
If references are entirely missing, you can add them using this form.