The Euler scheme for Lévy driven stochastic differential equations

Annals of Probability

Volumn 25, Issue 1, 1997, Pages 393-423

  Protter, Philip ^a   Talay, Denis ^b  

^a PURDUE UNIVERSITY   (United States)

^b INRIA   (France)

Author keywords

Euler method; L vy processes; Monte Carlo methods; Simulation; Stochastic differential equations

Indexed keywords

EID: 0031514913     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1024404293     Document Type: Article

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