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The Euler scheme for Lévy driven stochastic differential equations : limit theorems

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2005Euler scheme and tempered distributions57 cited
2007Parameter estimation for Ornstein-Uhlenbeck processes driven by α-stable Lévy motions49 cited
2009Simulation and approximation of Lévy-driven stochastic differential equations46 cited
2018Strong convergence of the Euler–Maruyama approximation for a class of Lévy-driven SDEs42 cited
2008Asymptotic analysis of hedging errors in models with jumps

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41 cited

2017On the rate of convergence of strong Euler approximation for SDEs driven by Levy processes36 cited

2009Numerical methods for Lévy processes34 cited

2008Numerical simulation of BSDEs using empirical regression methods: theory and practice28 cited

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

2015Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Lévy processes26 cited

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

2007Finite approximation schemes for Lévy processes, and their application to optimal stopping problems25 cited