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Optimal simulation schemes for Lévy driven stochastic differential equations

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https://hal.archives-ouvertes.fr/hal-01022959
Contributor : Serena Benassù <>
Submitted on : Friday, July 11, 2014 - 11:57:35 AM
Last modification on : Saturday, March 28, 2020 - 2:17:10 AM

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  • HAL Id : hal-01022959, version 1

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A. Kohatsu-Higa, S. Ortiz-Latorre, P. Tankov. Optimal simulation schemes for Lévy driven stochastic differential equations. Mathematics of Computation, American Mathematical Society, 2014, 83, pp.2293-2324. ⟨hal-01022959⟩

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