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The approximate Euler method for Lévy driven stochastic differential equations

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2014On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions

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49 cited

2007Parameter estimation for Ornstein-Uhlenbeck processes driven by α-stable Lévy motions49 cited

2009Simulation and approximation of Lévy-driven stochastic differential equations46 cited

2013Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation42 cited

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2009Numerical methods for Lévy processes34 cited

2007Comparison of semimartingales and Lévy processes33 cited

2012Comparison of semimartingales and Lévy processes32 cited

2008Simulation of Lévy-driven Ornstein–Uhlenbeck processes with given marginal distribution27 cited

2019Convergence and stability of the backward Euler method for jump–diffusion SDEs with super-linearly growing diffusion and jump coefficients26 cited

2010Weak Error for Stable Driven Stochastic Differential Equations: Expansion of the Densities26 cited