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The approximate Euler method for Lévy driven stochastic differential equations · Study

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ArticleThe approximate Euler method for Lévy driven stochastic differential equations

Jean Jacod2005

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The approximate Euler method for Lévy driven stochastic differential equations

Jean Jacod · Sylvie Méléard · Philip E. Protter

84 citations·0/0 files stored·Annales de l Institut Henri Poincaré Probabilités et Statistiques

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Stochastic processes and financial applications Numerical methods for differential equations Fuzzy Systems and Optimization

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References

2005Stochastic Integration and Differential Equations 1997Stochastic Analysis 1998Asymptotic error distributions for the Euler method for stochastic differential equations 1996The law of the Euler scheme for stochastic differential equations 2001Lévy processes : theory and applications 2001Approximations of small jumps of Lévy processes with a view towards simulation 1997The Euler scheme for Lévy driven stochastic differential equations 2001Series Representations of Lévy Processes from the Perspective of Point Processes

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2013Numerical simulations and modeling for stochastic biological systems with jumps 2010Threshold estimation of Markov models with jumps and interest rate modeling 2011A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations 2010Jump-adapted discretization schemes for Lévy-driven SDEs 2005Euler scheme and tempered distributions 2007Parameter estimation for Ornstein-Uhlenbeck processes driven by α-stable Lévy motions

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2009An operator approach for Markov chain weak approximations with an application to infinite activity Lévy driven SDEsarticle · 5 shared references 2001Modelling by Lévy Processess for Financial Econometricschapter · 4 shared references 2000Non-Gaussian OU based models and some of their uses in financial economicspreprint · 4 shared references 2006Error expansion for the discretization of backward stochastic differential equationsarticle · 4 shared references 2002The Euler scheme with irregular coefficientsarticle · 4 shared references 2004The Euler scheme for Lévy driven stochastic differential equations: limit theoremsarticle · 4 shared references

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Year2005

Typearticle

Published2005-04-02

VenueAnnales de l Institut Henri Poincaré Probabilités et Statistiques

ISSN-L0246-0203

Languageen

Citations84

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.anihpb.2004.01.007

openalex_workW2025200525

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2014On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions

2009Simulation and approximation of Lévy-driven stochastic differential equations