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math.PR2013
An Euler-Poisson Scheme for Lévy driven SDEs
Albert Ferreiro-Castilla, Andreas E Kyprianou, Robert Scheichl
We describe an Euler scheme to approximate solutions of Lévy driven Stochastic Differential Equations (SDE) where the grid points are random and given by the arrival times of a Poi…
math.PR2013★ 1 cited
Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots
Albert Ferreiro-Castilla, Kees van Schaik
In this note we apply the recently established Wiener-Hopf Monte Carlo (WHMC) simulation technique for Levy processes from Kuznetsov et al. [17] to path functionals, in particular…