Error analysis for approximation of stochastic differential equations driven by poisson random measures

SIAM Journal on Numerical Analysis

Volumn 40, Issue 1, 2002, Pages 87-113

  Hausenblas, Erika ^a  

^a UNIVERSITY OF SALZBURG   (Austria)

Author keywords

stable process; Euler scheme; First exit time; Malliavin calculus; Poisson random measure; Stochastic differential equations

Indexed keywords

EID: 0036556666     PISSN: 00361429     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0036142999360275     Document Type: Article

References (17)