Computer simulation of diffusions driven by α-stable Lévy motion

In this paper we demonstrate that with the use of numerical discretization methods and computer simulation techniques it is possible to construct approximations of stochastic integrals with integrators defined by α-stable (stable) Lévy motion. As a consequence, solving numerically stochastic differential equations involving such integrals, we obtain an effective method of approximate construction of a wide class of diffusions with jumps.

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Year of publication:	1995
Authors:	Janicki, Aleksander
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 38.1995, 1, p. 97-101
Publisher:	Elsevier
Subject:	Stable Lévy motion \| Stable random measures \| Stochastic integrals and differential equations with stable integrators \| Diffusions with jumps \| Statistical estimation \| Computer simulation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011050549