The Euler Scheme for Feller Processes

被引:4
作者
Boettcher, Bjoern [1 ]
Schnurr, Alexander [2 ]
机构
[1] Tech Univ Dresden, Inst Math Stochast, D-01062 Dresden, Germany
[2] Tech Univ Dortmund, Fak Math, Dortmund, Germany
关键词
Euler scheme; Feller process; Jump processes; SDE; Stochastic differential equations with jumps;
D O I
10.1080/07362994.2011.610167
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
We consider the Euler scheme for stochastic differential equations with jumps, whose intensity might be infinite and the jump structure may depend on the position. This general type of SDE is explicitly given for Feller processes and a general convergence condition is presented. In particular, the characteristic functions of the increments of the Euler scheme are calculated in terms of the symbol of the Feller process in a closed form. These increments are increments of Levy processes and, thus, the Euler scheme can be used for simulation by applying standard techniques from Levy processes.
引用
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页码:1045 / 1056
页数:12
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