/

The Euler scheme for Feller processes

Bj\"orn B\"ottcher and Alexander Schnurr
Arxiv ID: 0911.5245Last updated: 4/17/2020
We consider the Euler scheme for stochastic differential equations with jumps, whose intensity might be infinite and the jump structure may depend on the position. This general type of SDE is explicitly given for Feller processes and a general convergence condition is presented. In particular the characteristic functions of the increments of the Euler scheme are calculated in terms of the symbol of the Feller process in a closed form. These increments are increments of L\'evy processes and thus the Euler scheme can be used for simulation by applying standard techniques from L\'evy processes.

PaperStudio AI Chat

I'm your research assistant! Ask me anything about this paper.

Related papers

About
Pricing
Commercial Disclosure
Contact
© 2023 Paper Studio™. All Rights Reserved.