Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes

Sylvain Rubenthaler and Magnus Wiktorsson

Stochastic Processes and their Applications, 2003, vol. 108, issue 1, 1-26

Abstract: We consider the Euler approximation of stochastic differential equations (SDEs) driven by Lévy 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(Vn) where Vn 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.

Keywords: Stochastic; differential; equation; Numerical; approximation; Convergence; rate; Lévy; process; Shot; noise; representation; Subordination (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(03)00100-5
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:108:y:2003:i:1:p:1-26

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().