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Strong approximations of stochastic differential equations with jumps |
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| Authors: | Nicola Bruti-Liberati Eckhard Platen |
| Institution: | 1. School of Finance and Economics, Australia;2. Department of Mathematical Sciences, School of Finance and Economics, University of Technology, Sydney, PO Box 123, Broadway, NSW 2007, Australia |
| Abstract: | This paper is a survey of strong discrete time approximations of jump-diffusion processes described by stochastic differential equations (SDEs). It also presents new results on strong discrete time approximations for the specific case of pure jump SDEs. |
| Keywords: | primary 60H10 secondary 65C05 |
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