Name
Title | ||
|---|---|---|
Error Analysis for Approximation of Stochastic Differential Equations Driven by Poisson Random Measures |
Abstract | ||
|---|---|---|
Let Xt be the solution of a stochastic differential equation (SDE) with starting point x0 driven by a Poisson random measure. Additive functionals are of interest in various applications. Nevertheless they are often unknown and can only be found by simulation on computers. We investigate the quality of the Euler approximation. Our main emphasis is on SDEs driven by an $\alpha$-stable process, $0f belonging to ${L}^\infty$. Moreover, we treat the case where the time equals $T\wedge \tau$, where $\tau$ is the first exit time of some interval. |
Year | DOI | Venue |
|---|---|---|
2002 | 10.1137/S0036142999360275 | SIAM J. Numerical Analysis |
Keywords | Field | DocType |
various application,point x0,stochastic differential equations driven,poisson random measure,poisson random measures,error analysis,euler approximation,main emphasis,stochastic differential equation,exit time,stable process,additive functionals,malliavin calculus,stochastic differential equations | Differential equation,Euler method,Mathematical analysis,Poisson random measure,Stochastic process,Stochastic differential equation,Malliavin calculus,Poisson distribution,Mathematics,Random measure | Journal |
Volume | Issue | ISSN |
40 | 1 | 0036-1429 |
Citations | PageRank | References |
4 | 1.43 | 0 |
Authors | ||
1 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Erika Hausenblas | 1 | 20 | 6.19 |