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

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.
Document type :
Journal articles
Complete list of metadatas

https://hal.univ-cotedazur.fr/hal-00755435
Contributor : Sylvain Rubenthaler <>
Submitted on : Wednesday, November 21, 2012 - 11:38:36 AM
Last modification on : Thursday, May 3, 2018 - 1:32:58 PM

Links full text

Identifiers

Collections

Citation

Sylvain Rubenthaler, Magnus Wiktorsson. Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes. Stochastic Processes and their Applications, Elsevier, 2003, 108 (1), pp.Pages 1-26. ⟨10.1016/S0304-4149(03)00100-5⟩. ⟨hal-00755435⟩

Share

Metrics

Record views

223