Simulation and approximation of Lévy-driven stochastic differential equations
Nicolas Fournier (2012)
ESAIM: Probability and Statistics
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We consider the approximate Euler scheme for Lévy-driven stochastic differential equations. We study the rate of convergence in law of the paths. We show that when approximating the small jumps by Gaussian variables, the convergence is much faster than when simply neglecting them. For example, when the Lévy measure of the driving process behaves like ||d near , for some (1,2), we obtain an error of order 1/√ with a computational cost of order . For a similar error when...