THE EULER SCHEME FOR A STOCHASTIC DIFFERENTIAL EQUATION DRIVEN BY PURE JUMP SEMIMARTINGALES

被引：0

作者：

Wang, Hanchao ^{[1
]}

机构：

[1] Zhejiang Univ, Dept Math, Hangzhou 310027, Zhejiang, Peoples R China

来源：

JOURNAL OF APPLIED PROBABILITY | 2015年 / 52卷 / 01期

基金：

中国博士后科学基金;

关键词：

Euler scheme; weak convergence; pure jump Ito semimartingale; stochastic differential equation; LIMIT-THEOREMS;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we propose the asymptotic error distributions of the Euler scheme for a stochastic differential equation driven by Ito semimartingales. Jacod (2004) studied this problem for stochastic differential equations driven by pure jump Levy processes and obtained quite sharp results. We extend his results to a more general pure jump Ito semimartingale.

引用

页码：149 / 166

页数：18

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