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Probability Seminar

Monday, 09 September, 2013

SPEAKER: Ernest Jum
TITLE: Jump-diffusion approximation of SDEs driven by Levy processes
ABSTRACT: We consider the problem of the simulation of a stochastic
differential equation driven by a Levy process with infinitely many jumps.
The traditional Euler method often fails because either the exact
simulation of increments of such Levy processes is impossible or the error
for the Euler method is unacceptable. We prove that any such stochastic
differential equations has an approximate  jump-diffusion stochastic
differential equation for which we can show strong jump-adapted Taylor.
approximations of any desired order.




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