Title Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Levy processes
Authors S Rubenthaler, Magnus Wiktorsson
Alternative Location http://dx.doi.org/10.1016/S..., Restricted Access
Publication Stochastic Processes and their Applications
Year 2003
Volume 108
Issue 1
Pages 1 - 26
Document type Article
Status Published
Quality controlled Yes
Language eng
Publisher Elsevier Science B.V.
Abstract English We consider the Euler approximation of stochastic differential equations (SDEs) driven by Levy processes in the case where we cannot simulate the increments of the driving process exactly. In some cases, where the driving process Y is a subordinated stable process, i.e., Y = Z(V) with V a subordinator and Z a stable process, we propose an approximation Y by Z(V-n) where V-n is an approximation of V. We then compute the rate of convergence for the approximation of the solution X of an SDE driven by Y using results about the stability of SDEs. (C) 2003 Elsevier B.V. All rights reserved.
Keywords rate, convergence, stochastic differential equation, numerical approximation, Levy process, shot noise representation, subordination,
ISBN/ISSN/Other ISSN: 0304-4149

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