Computer simulation of diffusions driven by α-stable Lévy motion

Aleksander Janicki

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 38, issue 1, 97-101

Abstract: In this paper we demonstrate that with the use of numerical discretization methods and computer simulation techniques it is possible to construct approximations of stochastic integrals with integrators defined by α-stable (stable) Lévy motion. As a consequence, solving numerically stochastic differential equations involving such integrals, we obtain an effective method of approximate construction of a wide class of diffusions with jumps.

Keywords: Stable Lévy motion; Stable random measures; Stochastic integrals and differential equations with stable integrators; Diffusions with jumps; Statistical estimation; Computer simulation (search for similar items in EconPapers)
Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:38:y:1995:i:1:p:97-101

DOI: 10.1016/0378-4754(93)E0071-C

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