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The Euler Scheme for a Stochastic Differential Equation Driven by Pure Jump Semimartingales
Published online by Cambridge University Press: 30 January 2018
Abstract
In this paper we propose the asymptotic error distributions of the Euler scheme for a stochastic differential equation driven by Itô semimartingales. Jacod (2004) studied this problem for stochastic differential equations driven by pure jump Lévy processes and obtained quite sharp results. We extend his results to a more general pure jump Itô semimartingale.
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- Research Article
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- © Applied Probability Trust
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