The Euler Scheme for Lévy Driven Stochastic Differential Equations: Limit Theorems

We study the Euler scheme for a stochastic differential equation driven by a Lévy process Y. More precisely, we look at the asymptotic behavior of the normalized error process un(Xn-X), where X is the true solution and Xnis its Euler approximation with stepsize 1/n, and unis an appropriate rate goin...

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Veröffentlicht in:	The Annals of probability 2004-07, Vol.32 (3), p.1830-1872
1. Verfasser:	Jacod, Jean
Format:	Artikel
Sprache:	eng
Schlagworte:	60F17 60J30 60J75 65C30 Approximation Convergence Differential equations Eigenfunctions Error rates Euler scheme Exact sciences and technology General topics Limit theorems Lévy process Martingales Mathematical analysis Mathematical theorems Mathematics Perceptron convergence procedure Probabilities Probability Probability and statistics Probability theory and stochastic processes Probability theory on algebraic and topological structures Random variables rate of convergence Sciences and techniques of general use Stochastic analysis Stochastic models Studies Topology
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