Work

The approximate Euler method for Lévy driven stochastic differential equations

Year: 2005

Type: article

Source: Annales de l Institut Henri Poincaré Probabilités et Statistiques

DOI: 10.1016/j.anihpb.2004.01.007

Authors: J JACOD, T KURTZ, S MELEARD, P PROTTER

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: National Science Foundation, Deutscher Akademischer Austauschdienst, Army Research Office, Army Research Laboratory

Awards: Theoretical and Applied Probability on Stochastic Calculus, Numerical Methods, and Mathematical Finance, Complex Stochastic Systems

OpenAlex ID: W2025200525

FWCI: 7.97

Cites: 15

Cited by: 84

Related to: 10