Rate of weak convergence of the euler approximation for diffusion processes with jumps

Monte Carlo Methods and Applications

Volumn 8, Issue 1, 2002, Pages 83-96

  Kubilius, Kestutis ^a   Platen, Eckhard ^b  

^a LITHUANIAN ACADEMY OF SCIENCES   (Lithuania)

^b UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Diffusion processes; Euler approximation; Poisson jump measure; Simulation algorithm; Stochastic differential equations

Indexed keywords

EID: 34247265327     PISSN: 09299629     EISSN: 15693961     Source Type: Journal    
DOI: 10.1515/mcma.2002.8.1.83     Document Type: Article

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