Monday, 24 February, 2014
SPEAKER: Mr. Ernest Jum
TITLE: Weak jump-diffusion approximation of SDEs driven by Levy processes
ABSTRACT: We consider the problem of simulation of a stochastic differential equations driven by a Levy process. First, we replace the small jump part of the driving Levy process by a suitable Brownian motion,
as proposed by Asmussen and Rosinski, and obtain a jump-diffusion equation with good weak error estimates. Next, we give jump-adapted weak numerical schemes in the spirit of Bruti and Platten. We then give some numerical simulations to illustrate our method.