Approximations for solutions of Lévy-type stochastic differential equations
arXiv:1512.06572
Abstract
The problem of the construction of strong approximations with a given order of convergence for jump-diffusion equations is studied. General approximation schemes are constructed for Lévy type stochastic differential equation. In particular, the paper generalizes the results of Platen Kloeden and Gardo\n. The Euler and the Milstein schemes are shown for finite and infinite Lévy measure.
33 pages