Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps

Kestutis Kubilius and Eckhard Platen ()

No 54, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: The paper estimates the speed of convergence of the Euler approximation for diffussion processes with jump component which have Holder continuous coefficients.

Keywords: diffusion processes; stochastic differential equations; poisson jump measure; euler approximation; simulation algorithm (search for similar items in EconPapers)
Pages: 17 pages
Date: 2001-06-01
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Citations: View citations in EconPapers (7)

Published as: Kubilius, K. and Platen, E., 2002, "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps", Monte Carlo Methods and Applications, 8(1), 83-98.

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Related works:
Journal Article: Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps (2002)
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