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The Euler scheme for Lévy driven stochastic differential equations
10 references·16 citing·33 second hop
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this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1996The law of the Euler scheme for stochastic differential equations375 cited
  • 1984Jump Risks and the Intertemporal Capital Asset Pricing Model245 cited

Cited by

  • 2012Polynomial processes and their applications to mathematical finance131 cited
  • 2000Non-Gaussian OU based models and some of their uses in financial economics112 cited
  • 2008Estimation of continuous-time stochastic volatility models with jumps using high-frequency data109 cited
  • 2010Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction98 cited
  • 2004Estimation of Continuous-Time Markov Processes Sampled at Random Time Intervals

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93 cited
  • 2005Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes92 cited
  • 2002The Euler scheme with irregular coefficients91 cited
  • 2006Strong approximations of stochastic differential equations with jumps85 cited
  • 2005The approximate Euler method for Lévy driven stochastic differential equations84 cited
  • 2013Numerical simulations and modeling for stochastic biological systems with jumps83 cited
  • 2004The Euler scheme for Lévy driven stochastic differential equations: limit theorems73 cited
  • 2003Numerical solution of jump-diffusion LIBOR market models71 cited
  • 1996Probabilistic numerical methods for partial differential equations: Elements of analysis70 cited
  • 2005Existence, Uniqueness and Regularity of Parabolic SPDEs Driven by Poisson Random Measure66 cited
  • 1998Sharp conditions for certain ruin in a risk process with stochastic return on investments66 cited
  • 2002Numerical simulation of the solution of a stochastic differential equation driven by a Lévy process64 cited