کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156855 | 958885 | 2010 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Jump-adapted discretization schemes for Lévy-driven SDEs
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Jump-adapted discretization schemes for Lévy-driven SDEs Jump-adapted discretization schemes for Lévy-driven SDEs](/preview/png/1156855.png)
چکیده انگلیسی
We present new algorithms for weak approximation of stochastic differential equations driven by pure jump Lévy processes. The method uses adaptive non-uniform discretization based on the times of large jumps of the driving process. To approximate the solution between these times we replace the small jumps with a Brownian motion. Our technique avoids the simulation of the increments of the Lévy process, and in many cases achieves better convergence rates than the traditional Euler scheme with equal time steps. To illustrate the method, we discuss an application to option pricing in the Libor market model with jumps.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 120, Issue 11, November 2010, Pages 2258–2285
Journal: Stochastic Processes and their Applications - Volume 120, Issue 11, November 2010, Pages 2258–2285
نویسندگان
Arturo Kohatsu-Higa, Peter Tankov,